The Client
A leading market maker specialising in energy and metals derivatives, operating across physical commodities, listed derivatives, and OTC derivatives in oil, gas, power, emissions, and metals. The firm serves consumers, producers, and energy traders, helping them hedge market risk. With the client’s business growing and its operations expanding, they wanted to incorporate more sophisticated methods for pricing counterparty risk (CVA/XVA).
The Challenge
The firm’s existing infrastructure couldn’t support:
- Sophisticated XVA and counterparty risk measurement
- Fast, accurate pre-trade exposure checks
- Efficient PFE and CVA calculations
- Real-time analytics to guide trading and risk decisions
- Legacy tools introduced delays of 20 minutes or more, costing them valuable trading opportunities.
The client wanted a solution provider capable of matching the sophistication in XVA and counterparty risk measurement established by leading investment banks. They sought an enterprise-wide, scalable, high-performance solution that could accommodate many users without sacrificing speed or efficiency. Additionally, the client wanted a partner that could evolve alongside its growing needs, extending beyond XVA and counterparty credit risk to encompass market risk and other areas of risk.
Why Quantifi?
- Unique and unmatched expertise in commodity trading and XVA
- Sophisticated modelling comparable to leading financial institutions
- 80% reduction in time for pre-trade PFE checks
- Access to analytics via Excel and Python
- Flexible deployment (on-premises or in-cloud)
- Seamless integration and a proven track record of delivery
The Results
With Quantifi, the client now benefits from:
- Pre-trade and real-time PFE and CVA analytics
- Advanced scenario analysis and XVA sensitivities
- Support for hedging strategies using CDS and interest rate derivatives
- A scalable solution that enables collaboration across teams
Download the case study to learn how Quantifi is saving this client time, while also enhancing their capabilities and competitiveness.
