Quantifi Develops Cutting-Edge Credit Valuation Adjustment and Counterparty Risk Solutions

June 14, 2010
  • Quantifi releases Quantifi CVA (Credit Valuation Adjustment)
  • Release of Quantifi counterparty risk

London and New York (14 June 2010) - Quantifi, a leading provider of analytics, trading and risk management solutions for the global capital markets, today announced the release of two groundbreaking new products – Quantifi CVA (Credit Valuation Adjustment) and Quantifi Counterparty Risk – currently in beta testing with a select few clients.

Rohan Douglas, CEO at Quantifi, commented, “We are very excited to be introducing these new products to our already extensive software suite. As a result of a significant and long-term investment in R&D combined with close partnerships with our clients, we are once again first to market with much-needed solutions for counterparty and credit risk. Quantifi remains committed to innovation and continues to break new ground so clients can remain ahead of the rapidly changing regulatory environment and market conditions.”

Quantifi is the first vendor to develop and introduce to the market a CVA tool that successfully captures all relevant drivers of the exposure, including correlations (e.g., for wrong-way risk) and volatilities for Interest Rate Swaps, Cross Currency Swaps, CDS and CDO’s for both individual trades and/or portfolios. Advanced semi-analytic models make Quantifi CVA the fastest, most sophisticated and comprehensive CVA pricing tool on the market. It is designed to allow traders and risk managers to price new trades in seconds to help them identify the risk dynamics on the desk at the point of trade and to effectively hedge counterparty risk.

 


"Quantifi CVA is a unique product in that it offers the flexibility to calibrate all input parameters and calculate sensitivities, thereby enhancing transparency and pricing quality.

David Kelly, Director of Credit Products at Quantifi


 

Quantifi Counterparty Risk will enable financial institutions to proactively manage counterparty and market risk and effectively address CVA accounting requirements and evolving regulatory capital standards, including the new guidelines for securitisations. By incorporating a fully configurable high performance, multi-factor Monte Carlo simulation engine into Quantifi’s powerful grid computing architecture, Quantifi Counterparty Risk will support even the largest, most complex portfolios, including those with significant ‘wrong-way risk’ and volatility. Quantifi Counterparty Risk can perform as the primary platform for central CVA groups, function as an integrated component into existing platforms to provide a more robust solution for subsets of a portfolio or act as a desk-level CVA pricing system.

David Kelly, Director of Credit Products at Quantifi, added, “The ability to correctly price and manage counterparty risk is a key priority for financial institutions as they look to establish best practice in the pre- and post-trade management of CVA. Quantifi CVA is a unique product in that it offers the flexibility to calibrate all input parameters and calculate sensitivities, thereby enhancing transparency and pricing quality. Furthermore, both Quantifi CVA and Quantifi Counterparty Risk can be easily deployed and are intuitive to use.” He continued, “These products truly are the next generation of 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.”