The Global Valuation Universal Solver can support calculations for a wide range of complex risk and pricing challenges in Financial Services

Once trade pay-offs and calibrated market data are in place, in the cloud or on-premises, they can be shared and re-used for all risk and pricing needs.

  • No data duplication

  • Streamlined model management

  • Single solver

Our Solutions

Trading

Esther performs full scale XVA calculations on massive portfolios with a billion nested Monte Carlo paths and on-demand trade increments to support:

  • Capital optimisation (XVA)

  • Capital Valuation Adjustment (KVA)

  • Entity level FVA trading

Model Risk

Comprehensive Model Risk visualisation and Reverse Stress Testing to avoid expensive P&L restatement and minimise hedging costs

Stress Testing and FRTB

Full Revaluation FRTB, stress testing and stressed VaR can be performed daily using the most complex models. If you are struggling to execute your advanced full revaluation calculations daily and realise FRTB optimisations then we can help.

All calculations use the same Esther universal solver for hard/nested simulations and the same calibrated market data and trade pay-offs used for XVA.

Libor Solutions

Entity level FVA that fully models re-hypothecated collateral and economic capital calculates the true cost of funding.

Esther can calculate funding cost for incremental trades to ensure fair not-for profit funding add-ons can be agreed with counterparties and rate resets performed every month.

This is the basis for a post-Libor funding risk model that removes systemic risk from the industry.

Insurance

 Demanding regulations for  Solvency II and Risk Margins require complex probability models for the unhedgeable risks from lifetime insurance and reinsurance obligations.

The ability to quickly determine capital provisioning and potential costs of transferring obligations to a third party across the enterprise is critical to regulatory compliance and optimisation through rapid and informed business decisions.

We Integrate With Your Ecosystem

Global Valuation can deploy into your private cloud or datacentre or operate in the public cloud.

 

We can configure our vectorised compiler to most platforms and we only require OpenCL / CUDA and a 64bit OS.

We support Smart Contracts for your trade and collateral portfolios but we can also accept formats such as FpML.