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  • #6258
    rkapl
    Participant

    Dear All!

    I’m trying to integrate the dashboard with the outputs of ORE, however there is a problem here:
    The input files have aggregates that ORE doesn’t supply (i.e. exposure/xvas per counterparty/Rating/Total).
    Concerning npv I’d be able to compute that outside of ORE, but considering the subadditivity of exposures/xvas I don’t see any sense in doing this for exposure/xva.

    Is there any secret hidden feature being used for that?

    -regards,
    Roland

    #6259
    rkapl
    Participant

    OK, I just found out that the figures are indeed sums and that it also makes sense from a risk point of view (above netting set only summation of exposures/xvas is possible).

    -regards,
    Roland

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