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. It also ensures compliance with ASC 820 (FAS 157) and IAS 39 rules that mandate CVA to mark-to-market valuations.
- Rapid deployment in weeks not months
- Open architecture and robust interface allows for
seamless integration with existing systems
- Scalable to suit your environment as an integrated
solution or desk-level system
- Single platform for credit and market risk
- Basel ll and lll compliance
- Exceptional support
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- 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
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- 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
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- Cross-product netting agreements by counterparty
- Collateral by counterparty and master agreement
- Unilateral or bilateral collateral thresholds by counterparty
- Collateral risk management provision
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Built on Quantifi's market leading risk solutions, leveraging grid computing and data management capabilities provides an integrated platform for credit, market, and scenario risk calculations.