Case Studies

Quantifi Supports Counterparty Risk Management at Global Bank

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The client, one of the largest financial institutions in Asia Pacific, operates across multiple countries, serving over 10 million banking, consumer and wealth management customers. The client wanted to establish a CVA desk along with the necessary infrastructure to support their Credit, Rates and FX business globally. To do this they required an accurate and sophisticated solution that would allow them to price CVA on trades immediately.
 


"Quantifi is a high performance platform that enables 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."



 

The Challenge 

The client has been working with Quantifi since 2007 having licensed Quantifi as their front office pricing and structuring tool.Having initially developed an internal credit risk management system, the client looked to Quantifi as they realised the limitation of their internal system as it did not have the necessary features to support their business going
forward.

Selection Process

The client considered building out their internal system, 
however, given their insufficient domain expertise and the ongoing costs associated with adapting their system they realised that partnering with a technology providers was the most viable option. Having evaluated alternate technology solutions Quantifi demonstrated its in-house expertise and deep-domain experience in counterparty risk management.

 

Business Requirements

The client required a fast, robust and easy to implement
Counterparty Risk & CVA solution that would seamlessly
integrate with their existing infrastructure and provide incremental, accurate and immediate CVA pricing for new
trades. Their main focus area for counterparty risk was
Rates, including interest rate swaps, amortizing swaps,
XCCY swaps, FX products and inflation swaps.

Ease of Integration

Integration is an essential aspect of any counterparty risk system which relies on large amounts of data coming from a variety of different sources. The variety of utilities and powerful language independent APIs within Quantifi made integration seamless and easy. The data included the entire portfolio of positions in addition to the corresponding market data and reference data necessary to generate the require risk results.

 

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