Whole-book XVA sensitivities with AAD
The whole-book sensitivity run from days to about an hour
Reported by the client · XVA sensitivities, whole book · about 900 per netting set · 8,000 netting sets · days to about an hour · existing grid · global investment bank
How 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.
A global investment bank needed every first-order XVA sensitivity for hedging, across the whole book: about 900 per netting set over 8,000 netting sets, on simulations of 2,000 to 5,000 paths and about 100 dates. Bumping needs one full revaluation per risk factor, so a full run took days on the grid, and in practice only part of the book got sensitivities.
Xcelerit built AAD into the bank's own XVA code with XAD. Every first-order sensitivity now comes from one pass at about four times the cost of one valuation, validated against bumping. The full sensitivity run takes about an hour on the existing grid, against days by bumping, and covers the whole book. The bank runs the code under an XAD Enterprise subscription.
- Challenge
- About 900 sensitivities per netting set, 8,000 netting sets; days by bumping
- What we did
- AAD enablement: XAD in the bank's own XVA code
- How it was checked
- Against the bank's bumped run on the same grid, paths and dates; all sensitivities for about four valuations
Client-reported outcome. Exact figures are in the case study PDF, on request.
More on Regulation and XVA
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