Case Study: Danske Bank achieves real-time xVA analytics with ActiveViam Atoti

Danske Bank – Leading xVA Innovation with Atoti

Danske Bank, Denmark's largest bank, faced a significant challenge in managing the enormous volume of data generated by its xVA (valuation adjustments) calculations for its derivatives portfolio. The existing process, which relied on analyzing CSV files in Excel, lacked the speed and analytical depth required for daily risk management. To address this, Danske Bank partnered with vendor ActiveViam to implement its Atoti in-memory analytics platform to handle the data aggregation and provide multidimensional analysis.

ActiveViam's solution enabled Danske Bank to integrate its proprietary quantitative pricing library and algorithmic techniques with the Atoti platform. This allowed the xVA desk to instantly analyze and drill down into millions of data points across various dimensions like currency and counterparty. The results included the ability to perform real-time analysis, quickly create new reports without IT support, and achieve significant time savings, particularly during month-end processes. ActiveViam's technology provided the bank with enhanced analytical insight and cost savings.

Danske Bank

Nicki Rasmussen

Head of the xVA Desk