During the recent crisis, financial institutions that adopted an integrated approach to counterparty credit and market risk management proved better able to weather the storm than those who attempted to manage in a more piecemeal way. Consequently, the ability to observe aggregated counterparty exposures, taking into account netting and collateral agreements, is now considered essential for effective risk management.

Quantifi Counterparty Risk is a high performance platform that enables financial institutions to proactively manage counterparty and market risk and effectively address CVA accounting requirements and evolving regulatory capital standards, including the new guidelines for securitisations. By incorporating a fully configurable high performance, multi-factor Monte Carlo simulation engine into Quantifi’s powerful grid computing architecture, Quantifi Counterparty Risk supports even the largest, most complex portfolios, including those with significant ‘wrong-way risk’ and volatility.

Quantifi Counterparty Risk can perform as the primary platform for central CVA groups, function as an integrated component into existing platforms to provide a more robust solution for subsets of a portfolio or act as a desk-level CVA pricing system.  Its open architecture and robust interfaces allow for seamless integration into existing systems with minimal workflow interruption.

Main features include:

EXPOSURE SIMULATION
• Industry-standard, multi-factor Monte Carlo simulation
• Expected exposure (EE) and potential future exposure (PFE) profiles
• Exposure aggregation with netting and collateral
• Exposures conditional on counterparty default

NETTING AND COLLATERAL
• Cross-product netting agreements by counterparty
• Collateral by counterparty and master agreement
• Unilateral or bilateral collateral thresholds by counterparty
• Collateral risk management provisions

CREDIT VALUE ADJUSTMENT (CVA) AND ECONOMIC CAPITAL
• ASC 820 (FAS 157) and IAS 39 reporting
• CVA and DVA by counterparty and netting set
• Marginal CVA pricing of new trades reflecting existing exposure
• Default correlation, i.e., wrong-way risk
• Scalable for central CVA group or business line/trading desk

COMPREHENSIVE CREDIT AND MARKET RISK MANAGEMENT
• Custom reporting and drill-down of market and credit risk metrics
• Sensitivities to all market inputs and stress testing
• Basel II and III compliance
• High-performance grid computing