CVA Pricing Analysis for Global Financial Institution
A global financial institution operating in over 50 countries with over 10 million customers, the client manages a large portfolio of both vanilla and exotic OTC derivatives across multiple currencies and asset classes including credit, interest rates and foreign exchange. The client is also a customer to the street and is charged CVA by dealer banks on derivative transactions.

The client wanted to gain a better understanding of the mechanics of CVA pricing, especially on transactions involving multiple currencies. The firm’s widening credit spread dramatically increased CVA charges levied by dealers. Therefore the client wanted more transparency and a second opinion on these CVA charges.

The client requested Quantifi to calculate CVA charges on 880 derivative transactions. Quantifi generated a matrix of CVA prices, expressed as an upfront charge and basis points in a matter of days, in time for the client’s internal presentation to senior management. Quantifi also analysed the differences between its results and the dealer quotes, helping the client to better understand CVA pricing dynamics. The client is now able to challenge counterparties on CVA pricing as well as more efficiently manage credit capital.

Download the complete case study to see how Quantifi was able to support the global financial institution with the mechanics of CVA pricing.


“The client wanted to gain a better understanding of the mechanics of CVA pricing,
especially on transactions involving multiple currencies.”

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