In the post-crisis world, an increasing number of banks have set up a centralized XVA desk. With the introduction of new regulations to ensure banks are adequately capitalized, it has become common practice to include certain costs in the pricing of OTC derivatives that, in many cases, had previously been ignored. To assist in the pricing for the cost of dealing with a counterparty in a derivative transaction, the markets have developed various metrics including CVA, DVA, FVA, ColVA, KVA, and MVA—collectively known as XVAs. Read More

Quantifi has been selected by Haven Cove, a growing hedge fund incorporated in Malta, to support its structured credit strategies.  Haven Cove wanted the ability to structure portfolios and implement strategies across the credit spectrum. The fund selected Quantifi due to its best-in-class solutions for supporting structured credit portfolios –for example, the ability to perform all the stress tests and scenario analysis it required. With Quantifi, the fund benefits from the most comprehensive product coverage, and advanced credit analytics and risk management functionality available in the market. read more

It has been reported in several industry publications (e.g., CreditFlux, Reuters, Derivatives Week Online) that the CDS market is likely to switch to a fixed coupon basis with upfront points. This change will lead to some fundamental changes in the risk profiles of these contracts, and in particular will affect how they can be used in hedging spread and default risk. This Learning Curve article will explore some of the most basic changes that participants in the credit markets will need to keep in mind. Read More