Quantifi Enhances Portfolio Management and Risk Assessment Support for Asset Backed Securities

December 13, 2016
  • Single solution for structured finance and other cross-asset portfolios
  • Eliminates need for separate structured finance risk systems
  • Scenario framework surpasses flexibility offered by other providers

New York and London, 13 December, 2016 - Quantifi, a specialist provider of risk, analytics and trading solutions, today announced enhanced support for Asset Backed Securities (ABS). With Quantifi’s single solution, investment management firms can take advantage of integrated portfolio analytics, risk assessment and position monitoring across their structured finance and other cross-asset portfolios.

“Growth shoots are returning to asset-backed and CLO markets but fears of the past and regulatory cross winds ahead continue to buffet. Firms already face a raft of demands around detailed disclosures, liquidity, accounting, and management of retained risks - addressing these require continued investment in platforms that can optimise the cost of managing structured/ABS portfolios and next-generation analytics to underpin granular, forward-looking risk assessments.” comments Cubillas Ding, Research Director, Celent.

 


 “For the sophisticated ABS market, investment management firms require superior risk assessment and portfolio valuation tools, along with faster reporting. Our focus for enhancing support for ABS was accuracy of models, in terms of risk factor coverage and granularity, as well as flexibility of our scenario definition and management framework"

Avadhut Naik, Head of Solutions, Quantifi


 

Support for ABS extends the Quantifi solution to cover:

  • Consistent, integrated risk management and reporting for cross-asset portfolios
  • Leading-edge scenario framework provides full flexibility and granularity of collateral assumptions based on specified criteria. Surpassing the flexibility offered by other risk technology providers
  • Comprehensive impact analysis of varying credit and interest rate environments as well as assumptions on behaviour of collateral and equity tranches
  • Accurate exposures and sensitivity analysis across an entire portfolio
  • Customised approach to measuring and analysing hedge effectiveness over any time horizon
  • Advanced measurement of VaR across an entire portfolio including structured finance positions 
  • Cross referencing of Intex collateral items against 3rd party indicative and performance data 

 

“For the sophisticated ABS market, investment management firms require superior risk assessment and portfolio valuation tools, along with faster reporting. Our focus for enhancing support for ABS was accuracy of models, in terms of risk factor coverage and granularity, as well as flexibility of our scenario definition and management framework,” comments Avadhut Naik, Head of Solutions, Quantifi. “Our integrated approach eliminates the need for firms to invest in separate structured finance risk systems. In the near term, the transition from individual systems to a single solution will be the key investment for many firms.” continues Avadhut.