MVA with forward SIMM

How 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.

Margin valuation adjustment needs initial margin projected forward: the full ISDA SIMM sensitivity set at every future margin date of every scenario. For a major bank that meant 14 billion deltas per run across 100 netting sets. By bumping, one full revaluation per risk factor, the run was out of reach, and the desk could not price the MVA of a new trade before quoting.

Xcelerit started with AAD training for the bank's quant developers on their own pricers, then built AAD into those pricers with XAD, using code generation on the repeated valuations. The forward sensitivities now run at every margin date, validated against bumping, and the desk gets incremental MVA for a new trade in about a minute. The bank runs the code under an XAD Enterprise subscription.

Challenge

Forward ISDA SIMM: 14 billion deltas per run across 100 netting sets

What we did

AAD training, then AAD enablement: XAD with code generation in the bank's pricers

How it was checked

Against bumping of the same forward SIMM sensitivities on a representative netting set, same paths and dates

Client-reported outcome. Exact figures are in the case study PDF, on request.

“Forward SIMM at every margin date used to be something we approximated. Now it is 14 billion deltas a run, and the MVA of a new trade comes back in about a minute.”Head of Margin Analytics, Major bank

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