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. The client required a fast, robust and advanced 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.
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. Benefits include:
- Ability to verify/compare internal models
- Best-of-breed American Monte Carlo and semi-analytic pricing models
- Flexibility to calibrate all input parameters and calculate sensitivities
- Ability to generate expected exposure profiles over chosen future dates
- Foundation for enterprise counterparty risk management and full Basel III compliance
- Significantly reduced IT
Download the complete case study to see how Quantifi was able to support this global bank’s counterparty risk management.
“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.”
Dmitry Pugachevsky, Director of Research, Quantifi
