Abstract
This paper proposes a simple and crude way of approximating the XVA sensitivities. In short, the idea is simply to recycle the existing base simulated portfolio values for the bumped ones. This is done by re-simulating the risk factors for the bumped market and finding out which other base state is closest to each given bumped state. Once that base state is found, its portfolio value can be used for the bumped one. The approach, therefore, removes the need to revaluate the trades during the secondary round of bump calculations while leaving other steps of the process intact.
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