CCR / xVA

Counterparty credit risk sits at the intersection of market risk, credit risk and funding. The xVA family of adjustments — CVA, DVA, FVA, KVA, MVA — reflects the economic cost of these exposures and has become central to derivatives pricing and balance sheet management.

Embridge supports clients across the counterparty risk and xVA spectrum, including:

• Measurement of exposure under SA-CCR and Internal Model Method (IMM)
• Review and benchmarking of xVA methodologies — CVA, DVA, FVA, KVA, MVA
• Wrong-way risk identification and quantification
• Collateral and margin modelling, including initial margin under SIMM and schedule-based approaches
• CVA capital requirements under the Basel framework (BA-CVA, SA-CVA)
• Pricing and valuation of xVA for less liquid or bespoke transactions

Our advice combines technical modelling expertise with a clear view of how supervisors and auditors are likely to challenge the approach taken. We support both first-line desks and independent validation functions.