Quantifi RISK is a turn key system for front-office pricing, hedging and risk analysis of structured credit products.

Quantifi RISK is simple to install, use, and support and provides a controlled and audited environment which automates the day-to-day marking and risk analysis process. It includes a database of trades, historical market data and risk results with built-in support for common data sources such as Markit™.

Like Quantifi XL, Quantifi RISK is built on Quantifi Toolkit – our extensive, open library of market tested and validated models. This provides an open platform that allows clients to build their own proprietary models and easily integrate with existing models or data.

Quantifi RISK is designed to provide extensive risk reporting using a proprietary scenario analysis feature which allows for extensive what-if analysis - critical for effective credit risk management.

There are applications for trade entry, risk generation and risk reporting which allow you to capture and price deals and perform automated complex scenario analysis. There is also tight integration with Quantifi Excel which provides a unique bi-directional connectivity where one can leverage the benefits of Excel while maintaining data and official marking in a controlled and audited environment.

Main features include:

1. Provides advanced pricing and risk management for structured credit.
2. Cost effective and easy to integrate.
3. Audited and automated risk management.
4. Technology is scaleable and extendible.

A wide range of advanced risk analysis is provided including:

• Credit spread risk by credit, tenor, industry, and sector
• Correlation risk (base and tranche) by credit, industry, and sector
• Default (JTD and JTR) risk by credit, industry, and sector
• Recovery rate risk (with and without recalibration) by credit and tenor
• Pair-wise default risk
• P&L
• Gamma spread risk by credit, tenor, industry, and sector
• Cross-gamma spread risk by credit, tenor, industry, and sector
• Interest rate risk by tenor and currency
• FX Risk by currency
• Theta over a specified horizon
• Add-hoc scenario analysis

In addition a wide range of flexible and fast custom scenarios can be created based on a customer’s requirements.

Quantifi RISK is architected by a team of professionals who have had many years experience building mission-critical risk and proprietary trading systems for top-tier Wall Street firms.