CVA – A Big Data Problem

In recent years regulatory demands have permeated all types of financial institutions. Banks are finding themselves under increasing scrutiny to account for their actions with never seen before speed and accuracy. The likes of Dodd Frank, Basel III, and EMIR are necessitating an increasing need to assess, on a pre-trade basis, the credit impact resulting from new OTC transactions.

The most sophisticated methodology available is to use a simulation-based Credit Value Adjustment (CVA). 

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