CVA Benefit Assessor

Our CVA Benefit Assessor tool is used to assess the benefits and associated costs of any CVA initiative. We have a pre-configured tool for this purpose, but this may also be built out to meet a client’s particular requirements. The diagram below shows the primary components of our CVA Benefit Assessor:

For each of the areas covered we have developed a range of metrics to assess the benefits and costs arising from the proposed programme of work:

Area	Metrics
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P&L	Expected P&L targets resulting from the implementation of a CVA process P&L volatility reduction benefits to be gained
Risk exposure	Expected change in counterparty credit risk exposures as a result of implementing a CVA process
Capital	Expected change in client’s economic and/or regulatory capital through appropriate hedging
Efficiency and control	Where further automation of a CVA process is being considered, the process and efficiency benefits of this automation is measured. e.g. in moving from manual pre-trade credit pricing to automated pricing processes
Reputation	This is a more judgemental area in which we assess the likely impact on the client’s reputation from the perspective of: Customers Regulators Peers Rating agencies/providers of credit
Project costs	We have standard project cost estimations for CVA projects based upon previous work. These can be used as a starting point and be built out for each client specific initiative
Ongoing technology costs	We have standard ongoing technology cost estimations for CVA infrastructure based upon previous work. These can be used as a starting point and be built out for each client specific initiative
Headcount costs	We have a headcount model for the estimation of the ongoing incremental business headcount which can be expected to arise from any process change