Quantifi, a leading provider of analytics and risk management solutions for the global OTC markets, today announced that KLP Kapitalforvaltning AS (KLP Asset Management) has selected Quantifi for the pricing and risk management of interest rate derivatives using a dual curve environment. KLP Asset Management, a subsidiary of Norway’s largest insurance company, manages NOK 227 billion assets of KLP Group and the KLP Funds external clients.
Valuation and risk management for even the simplest interest rate products have undergone revolutionary changes over recent years. It is now essential for firms to price interest rate derivatives using a dual curve environment with a separate projection and discount curve. OIS discounting is now the market standard, however, this introduces analytical complexity and furthermore the performance impact on calculating risk sensitivities can also be significant.
KLP was seeking to replace their existing vendor solution for interest rate derivatives. They selected Quantifi as they were impressed with its ability to accurately price and risk manage interest rate derivatives in a dual curve environment using the latest market best practice and advanced numerical methods for groundbreaking performance. KLP’s decision to choose Quantifi was based on its ability to seamlessly integrate into the KLP environment, ease of use and broad functionality.
“The benefit of using Quantifi is very apparent to the interest rate derivatives team as we now have the ability to make better decisions, place better trades and enhance risk management, which ultimately improves return for our clients.”Arne Løftingsmo, Portfolio Manager at KLP Kapitalforvaltning AS
“Multiple curve environments have become the market standard and Quantifi’s sophisticated and comprehensive set of yield curve-building functionality matches this new standard. Pricing must be accurate and performance for calculating sensitivities should be fast. Quantifi excelled in both these areas,” comments Arne Løftingsmo, Portfolio Manager at KLP Kapitalforvaltning AS. “The benefit of using Quantifi is very apparent to the interest rate derivatives team as we now have the ability to make better decisions, place better trades and enhance risk management, which ultimately improves return for our clients.”
Quantifi provides pricing and structuring for even the most complex OTC products in a familiar, flexible and intuitive environment. Comprehensive, powerful and easy-to-use functions cover the simplest calculations to the most advanced pricing and sensitivity analysis. Extensive online help and tutorials make getting started and using Quantifi simple and intuitive.
Asad Moini, Head of EMEA & Asia-Pacific Sales at Quantifi, comments, “Gaining KLP Asset Management as a client further extends the diversity of our growing client base. Quantifi is at the forefront of yield curve technology and provides a much-needed solution for a significant market need. KLP Asset Management is a very sophisticated client that recognised our experience and high level of support.”
About KLP Kapitalforvaltning AS
KLP Kapitalforvaltning AS manages assets on behalf of the insurance business in the KLP Group and other customers through the KLP funds. KLP Kapitalforvaltning AS is an asset management company with a license from the Financial Supervisory Authority of Norway to provide active management and investment advisory services. They have approximately 60 employees and manage NOK 227 billion (as of July 31, 2012) in a broad range of fixed income and equity portfolios.
For further information, please visit KLP