Real-Time Risk Engine with Greeks and XVA
Tier 1 bank, G10 rates desk
The G10 rates desk needed portfolio Greeks, aggregated risk metrics and valuation adjustments available in real time to support intraday decisions and regulatory reporting.
Scope of work
Pricing models developed for fixed income derivatives including swaps, options and futures, with adjoint algorithmic differentiation integrated for efficient sensitivity calculation and stochastic volatility models introduced for exotic products.
Aggregation engine built as a distributed system aggregating risk metrics across portfolio and trade level in real time, using multi-threading and GPU acceleration so it scales with position volume.
XVA integration, incorporating CVA, DVA, FVA and MVA into trade-level risk metrics, supported by a Monte Carlo framework designed for path-dependent exposure calculation.
Market data server designed for multi-asset streaming of live rates, FX and equity data, with latency optimised using streaming infrastructure and in-memory databases.
Outcome and value
- Risk calculation time halved, supporting immediate portfolio adjustment.
- Trade decisions informed by real-time risk metrics and valuation adjustments together.
- Stress testing and intraday reporting established from the same engine.
- Regulatory reporting supported without a separate build.