- Quantifi awarded in recognition of its cutting-edge credit valuation adjustment (CVA) solution, Quantifi CVA
- First vendor to develop and introduce to the market a CVA tool that successfully captures all relevant drivers of the exposure
New York and London (9th November 2010) - Quantifi, a leading provider of analytics and risk management solutions to the global capital markets, announced today that the firm has been awarded Credit Magazine’s Technology Innovation Award in recognition of its cutting-edge credit valuation adjustment (CVA) solution, Quantifi CVA. This is the third consecutive year in which the firm has been awarded for Credit Technology Innovation.
The Credit Magazine Technology Innovation Awards recognise the achievements of technology firms for their pioneering work in the credit market, particularly in response to the challenges in analytics, risk management, pricing and valuation. Quantifi was the first vendor to develop and introduce to the market a CVA tool that successfully captures all relevant drivers of the exposure, including correlations and volatilities for interest rate swaps, cross currency swaps, CDS and CDOs for both individual trades and/or portfolios. The groundbreaking Quantifi CVA solution was launched in mid-2010.
David Kelly, Director of Credit Products at Quantifi, says, “The ability to correctly price and manage counterparty risk is a key priority for financial institutions. Quantifi CVA is a unique product as it offers near instantaneous performance and the flexibility to calibrate all input parameters, thereby improving pricing quality and providing the ability to hedge CVA.” He continued, “Quantifi CVA truly is the next generation of CVA pricing and risk analysis, and we are excited to continue to provide our clients with groundbreaking solutions that give them a competitive edge in the market.”
"As a result of significant and long-term investment in R&D, Quantifi was once again first to
market with a much-needed solution for counterparty and Credit Risk"
Rohan Douglas, CEO of Quantifi
Quantifi CVA is a suite of Excel™ based pricing tools giving traders an extremely fast and cost-effective means to price CVA on new trades independently or as an incremental charge on existing portfolios. The model reflects current best practice and helps traders correctly price in default correlation, i.e. wrong-way risk between the counterparty and the underlying asset, as well as volatility. Created in Excel™ for flexibility and ease of use, Quantifi CVA can be downloaded and deployed rapidly.
Rohan Douglas, CEO of Quantifi, says, “Winning the Credit Technology Innovation Award for the third consecutive year is a testament to our ongoing commitment to innovation.” Mr. Douglas continues, “As a result of significant and long-term investment in R&D, Quantifi was once again first to market with a much-needed solution for counterparty and credit risk. We are constantly breaking new ground so clients can remain ahead of the rapidly changing regulatory environment and market conditions.”
This is the third consecutive year that Quantifi has been acknowledged by Credit Magazine for its innovative tools, having been recognised last year for the Collateralized Loan Obligation (CLO) Pricing Model. In 2008, Quantifi was the only company to win two Technology Innovation Awards for its correlated recovery CDO models and LCDS and LCDX modeling.