Quantifi CVA is a suite of Excel™ based pricing tools giving traders an extremely fast and cost-effective means to price CVA on new trades independently or as an incremental charge on existing portfolios.

'WestLB was looking for a fast, flexible and intuitive CVA solution to competitively and accurately price CVAs in near real-time. Quantifi CVA proved to be the ideal solution, as the semi-analytic models deliver superior performance withouth compromising accuracy'

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. Our models 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.

Many institutions have robust CVA pricing capabilities for some or all the products they trade. Invariably, there are gaps in product coverage, deficiencies in models or simply the need for an alternative valuation. Quantifi CVA allows institutions to directly address each of these needs in a cost-effective manner. Quantifi CVA is built on industry-leading and proven credit derivatives technology, giving you an immediate solution to counterparty credit risk pricing and risk management at a low cost of ownership.