The ability to correctly price and manage counterparty risk is a key priority for financial institutions as they look to establish best practice in the pre- and post-trade management of CVA.  Quantifi is the first vendor to develop and introduce to the market a CVA tool that successfully captures all relevant drivers of the exposure, including correlations (e.g., for wrong-way risk) and  volatilities for Interest Rate Swaps, Cross Currency Swaps, CDS and CDO’s for both individual trades and/or portfolios.

Advanced semi-analytic models make Quantifi CVA the fastest, most sophisticated and comprehensive CVA pricing tool on the market. It is designed to allow traders and risk managers to price new trades – independently or as an incremental charge on existing portfolios - in seconds to help them identify the risk dynamics on the desk at the point of trade and to effectively hedge counterparty risk. 

The model reflects current best practice and helps traders correctly price in default correlation, i.e. wrong-way risk between the counterparty and the underlying asset, as well as volatility.  Quantifi CVA offers the flexibility to calibrate all input parameters and calculate sensitivities, thereby enhancing transparency and pricing quality. Created in Excel for flexibility and ease of use, Quantifi CVA can be downloaded and deployed rapidly.

Main features include:

• CVA and DVA for interest rate swaps, cross currency swaps, CDS and CDOs
• Default correlation, i.e., wrong way risk
• Semi-analytic models 100s of time faster than Monte Carlo
• Modelling of both underlying asset volatility and correlation
• Unilateral or bilateral collateral thresholds
• Economic Capital (EC), Expected Exposure (EE) and Potential Future Exposure (PFE)
• Sensitivities to all inputs including FX, rates, credit, correlations, and volatilities
• Marginal CVA and DVA, with or without netting
• IAS 39 and ASC 820 (FAS 157) compliance
• Excel™-based for maximum flexibility
• Immediately downloadable for rapid implementation