XVA · CVA / DVA / FVA / MVA / KVA / LVA
Counterparty risk
done right
Multi-factor Monte Carlo, priced on the CSA discount curve. At CSA level we simulate a full VM and IM collateral grid across all paths, deriving accurate EPE, ENE, and exposure profiles. Funding costs, credit spreads, and CSA specificities — thresholds, MTA, cheapest-to-deliver — flow directly into each XVA component. On-premises or in the Cloud.
| Id | CVA | DVA | FVA |
|---|---|---|---|
| Portfolio | 426,358 | -211,508 | 84,210 |
| P: ENTITY2 | 12,708 | -6,140 | 2,180 |
| CP: BANK2 | 2,124 | -978 | 340 |
| CP: BANK13 | 824 | -322 | 108 |
| CP: BANK6 | 242 | -108 | 31 |
| CP: BANK14 | 33 | -12 | 4 |
Full Coverage
From model to metric — complete pipeline
Every step from calibration to aggregation runs on distributed infrastructure. No black boxes — drill down to deal and leg level on any metric.
Monte Carlo Pipeline
Hybrid Monte Carlo engine with correlated diffusion across all risk factors — IR, FX, credit spreads, equity. Native pricing models or plug in your own library. Calibrated per CSA for accurate collateral discounting.
Expected Positive Exposure — CP: BANK13
Collateral Management
Full CSA simulation at path level — VM and IM collateral grids computed across all Monte Carlo scenarios. CSA specificities drive accurate exposure and funding cost attribution.
- MTA, MPOR, rounding
- VM & IM simulation
- Multiple CSA discounts
- Cheapest-to-deliver
- Collateral asymmetry
- Break clauses
Around XVA
Sensitivities & Hedging
Compute XVA delta, gamma, and vega across all risk factors. Use to construct hedging portfolios that offset your XVA exposure.
- IR, FX, CO & credit spread sensitivities
- Integrate with your front-office hedging flow
Reallocation to Deals
Each deal's marginal contribution to portfolio CVA, DVA, and FVA is computed and visible at deal and leg level — enabling accurate front-office charge attribution and pricing of new trades.
- Drill down to deal and leg level
- Marginal XVA for pre-trade pricing
- Allocation across netting sets
XVA Insights
Automatic attribution.
Every day, every move.
When your CVA moves overnight, Everix decomposes the change into factors — so you know exactly how much came from new trades, market moves, collateral adjustments, or configuration changes.
Advanced Scenarios
What-if on everything
Change any input — trades, market data, or collateral terms — and see the XVA impact on the fly. Run from the UI or via the REST API from your front-office system.
Trade What-If
- Novation impact
- Partial unwind
- New trade incremental
- Full portfolio unwind
Market Data
- Scalar bumps
- Curve shifts and bumps
- Volatility surface/cube shifts
- Absolute and relative
CSA Changes
- Threshold adjustment
- MTA change
- Discount curve switch
- Collateral currency
Custom Scenarios
- Combine any changes
- Regulatory stress sets
- Historical scenarios
- Save & replay
How It Runs
Distributed.
Cloud-native.
No vendor lock-in.
The Everix XVA engine runs on automatically deployed infrastructure — on-premises, your cloud provider, or our cloud. The same pipeline works on a single server for smaller books.
Consolidated View
All charges in one place
See XVA, Initial Margin, SA-CCR, and liquidity costs side-by-side. Marginal and forward versions of almost all metrics available. Export to CSV at any hierarchy level.
Related modules
SA-CCR
Standardised Approach for Counterparty Credit Risk — marginal, forward, pre-trade impact.
ExploreISDA SIMM™
ISDA-certified Initial Margin calculator with backtesting, what-if, and IM forward.
ExploreIFR / IFD
EU/UK capital requirements for investment firms — K-factors, own funds, and regulatory reporting.
ExploreGet Started
See XVA in your portfolio
We'll walk you through the platform with a real use case, listen to your setup, and tell you honestly if Everix is the right fit.