FRTB standardised approach sensitivities ahead of go-live
Sensitivity compute from about 8 hours to under 1, ahead of go-live
Reported by the client · FRTB standardised approach, MAR21 · delta, vega and curvature per trade · about 8 h to under 1 h · under 2 h end to end · same grid · European bank
How AAD with XAD in a European bank's own pricers took the FRTB standardised-approach sensitivities from about 8 hours of compute to under 1 on the same grid, ahead of go-live.
A European bank preparing for FRTB capital under the standardised approach, MAR21, has to produce delta, vega and curvature inputs for every trade, every day. By bumping, one full revaluation per risk factor, the sensitivity compute took about 8 hours on its market-risk grid, before data loading and aggregation. That left no room for reruns once the numbers count for capital.
Xcelerit built AAD into the bank's own pricing library with XAD. Delta and vega now come from one pass per trade, validated against bumping, and the curvature shocks, which MAR21 defines as full revaluations, run faster with XAD code generation. The compute takes under an hour on the same grid, down from about 8 hours, and the whole run, data and aggregation included, finishes in under two hours. The bank runs the library under an XAD Enterprise subscription.
- Challenge
- Delta, vega and curvature inputs per trade, daily; about 8 hours of compute by bumping
- What we did
- AAD enablement: XAD in the bank's own pricing library
- How it was checked
- Against the bank's bumped run on the same grid and trades; curvature as full revaluations, as MAR21 requires
Client-reported outcome. Exact figures are in the case study PDF, on request.
More on Regulation and XVA
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- Case studyMVA with forward SIMMHow AAD training, then XAD in a major bank's own pricers, made forward SIMM at every initial-margin date practical, with incremental MVA for a new trade in about a minute.
- Case studyWhole-book XVA sensitivities with AADHow AAD with XAD in a global investment bank's own XVA code gave every first-order sensitivity across 8,000 netting sets: from days to about an hour on the existing grid.