CVA/DVA Pricing with F3

While having the ability to calculate Credit Value Adjustment (CVA) or Debt Value Adjustment (DVA) on your portfolio is important, it can be quite difficult to achieve. However, with FINCAD's solution, you can calculate CVA (or DVA) on any trade or netting set.

F3's innovative approach to CVA pricing treats it as a specific calculation application, in principle no different from pricing complex derivatives. This allows CVA to be calculated using the same models and generic Monte Carlo pricing engine as for any other exotic trade. The generic design can handle all types of financial contracts.

CVA pricing demo

Get the Speed You Need - Faster Calculations

We all know that performance matters and with F3 you get the speed you need to price CVA on a wide range of instruments. F3 leverages software optimization techniques like lazy evaluation and object re-use that will provide fast calculations.

Key Benefits
Any trade or netting set
  • Easy extension of vanilla and exotic financial instruments pricing to CVA calculation on same instruments with one function call
  • Common vanilla examples might include: interest rate swaps, swaptions, FX swaps/forwards/options, cross-currency swaps
  • F3's generic engine can just as easily calculate the CVA for structured products, cross-asset instruments, or hybrids
Netting & Collateral
  • Calculates CVA by netting set, including the impact of any collateral agreement
  • Use pre-built or user-defined collateral rules
Data management
  • Non-existent or illiquid CDS instruments can be synthesized using a custom credit index with specific modeling assumptions
  • Building multiple netting sets and aggregating all data sources will be efficient and robust. Our integration experts can assist with integrating multiple pricing and risk systems into a consolidated framework
Wrong Way Risk
  • Account for correlation between counterparty exposure and default risk, for a complete evaluation of your CVA, and to meet regulatory requirements

To find out more about CVA, request a customized demonstration.