Quantifi Supports Counterparty Risk Management at Global Bank

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 immediately price CVA on trades.


The Client

The client is one of the largest financial institutions in Asia Pacific. They operate across multiple countries and serve over 10 million banking, consumer and wealth management customers.

The Challenge

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 immediately price CVA on trades . They 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.

Why Quantifi?

The client looked to Quantifi as their internal credit risk manage­ment system did not have the necessary features to support their business going forward. Additional reasons for selecting Quantifi included:

  • Support for a broad range of assets including FX, interest rates and inflation
  • Built on industry-leading and proven credit derivatives technology
  • The most-advanced analytics, delivering results that accurately match the market
  • Rapid implementation
  • Fast, flexible and intuitive to use
  • Ensure transparency by allowing all input parameters to be stressed
  • Cost effective
  • Scalable to support future growth

“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

The Results

  • 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 costs by saving on time and resources

Download the complete case study to see how Quantifi was able to support this global bank’s counterparty risk management.

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