For XVA Desks

Every XVA. Every asset class.
Production-grade sensitivities.

CVA, DVA, FVA, MVA, KVA — computed across rates, FX, credit, equities, and commodities. Full AAD Greeks. Exposure profiles. Counterparty risk. Collateral optimisation. Built by someone who ran this desk.

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Full XVA Coverage

Every valuation adjustment. No gaps.

Gamma Quant computes the complete XVA stack — not just CVA in isolation, but the full interplay between adjustments, collateral, and funding.

CVACredit Valuation Adjustment
DVADebit Valuation Adjustment
FVAFunding Valuation Adjustment
MVAMargin Valuation Adjustment
KVACapital Valuation Adjustment
PFEPotential Future Exposure
EPEExpected Positive Exposure
ENEExpected Negative Exposure
What We Solve

The problems we know from the inside.

Sensitivity computation is too slow

Bump-and-reprice Delta ladders for a large derivatives book take hours. Gamma Quant uses Automatic Adjoint Differentiation (AAD via PyTorch) to compute all sensitivities in a single forward pass.

Vendor tools are black boxes

You can run the number but you can't inspect the model. Every Gamma Quant output shows its assumptions, calibration inputs, and model limitations — always.

Cross-asset coverage is patchwork

Most XVA tools cover rates. Gamma Quant covers rates, FX, credit, equities, and commodities from day one, in a unified framework.

Institutional pricing is out of reach

Enterprise licences for XVA tools run to six figures. Gamma Quant starts from £450/month for a desk licence — and from £59/month for individual analysts.

Gamma Quant — XVA Suite

What the platform actually does.

Exposure Simulation

Monte Carlo simulation of exposure profiles (EPE, ENE, PFE) under risk-neutral and real-world measures. Netting set aware. CSA-compliant margining. Configurable simulation paths from 1,000 to 100,000.

  • Full netting set hierarchy support
  • Threshold, MTA, and MPOR configuration per CSA
  • Time-bucketed exposure profiles exported to CSV or API
  • Celery-backed async jobs — no browser hang on large books

XVA Computation

CVA/DVA with bilateral or unilateral treatment. FVA with configurable funding curve. MVA computed over the MPOR. KVA under SA-CCR or internal model. All adjustments computed consistently off the same simulation.

  • AAD Greeks — dCVA/dRate, dCVA/dCredit spread, dFVA/dFunding — in one pass
  • Attribution by counterparty, netting set, and trade
  • Collateral optimisation — minimise FVA subject to IM constraints
  • Full audit trail — every run stores inputs, model version, and outputs
QuantLib-Python PyTorch AAD Monte Carlo via Celery TimescaleDB (exposure time-series) SA-CCR capital REST API + OpenAPI docs
10+

Years on live XVA desks at HSBC and AXA

5

Asset classes — rates, FX, credit, equities, commodities

£450

Per month for institutional desk licence — from

AAD

Automatic Adjoint Differentiation — all Greeks in one pass, not bump-reprice

"I ran XVA at HSBC. I know what a production system needs to do — and I know where vendor tools fall short. Gamma Quant is the tool I wanted to have."
Youssouf Kerzika, Founder — XVA Rates & FX, HSBC · Insurance Risk, AXA

Interested in a desk licence?

Institutional pricing starts from £450/month. We'll walk you through the models, show you the source assumptions, and scope the integration to your data infrastructure.

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Global Gamma outputs are for informational and research purposes only. They do not constitute financial advice, investment recommendations, or regulated services. Global Gamma Ltd is not authorised by the FCA. Always seek independent professional advice before making financial decisions.