An Advanced Approach to XVA

A powerful XVA solution that provides real-time support for trading, XVA desk, risk management and accounting requirements

Some banks assign responsibility for pricing and managing counterparty credit risk to a central XVA desk while others delegate to the individual business units. Regardless of how it is done, traders and risk managers need their own capability to verify pricing and understand the dynamics of the risk. This capability should capture all the relevant drivers of the expsoure, including correlation with the counterparty's default probability, while allowing maximum flexibility so that all input parameters can be stressed to ensure transparency. Quantifi addresses this need with fast XVA pricing tools built on modern technology.

Modern, light system for fast, seamless implementation

Modern, light system for fast, seamless implementation

Scalable technology to support future business growth

Scalable technology to support future business growth 

Proven track record of successful implementations

Proven track record of successful implementations


Key Features

Take a holistic and integrated approach to risk management with a modern, enterprise-wide XVA solution that supports a full complement of measures


View XVA Enterprise-wide

A single, consistent XVA modelling framework to support for front-office, IFRS 13 accounting and risk control requirements

Perform Stress Testing

Stress product attributes and/or market risk factors and measure their impact on XVA and Counterparty exposures

Comprehensive XVA Measures

Market leading models provide fast, accurate results for the latest XVA measures, including CVA, DVA, FVA, KVA, MVA and economic capital

Cross-asset Support

Support for a broad range of asset classes including fixed income, credit, rates, FX, equities, loans and commodities

Generate Consistent XVA Analytics

Accurate, consistent, real-time analytics, including sensitivities, scenario analysis and XVA explain, in line with the most advanced banks

Sophisticated Data Management

Advanced set of tools and utilities to simplify the process of managing large amounts of trade, reference and market data

Accurately Price XVA

An extremely fast method to price XVA on new trades independently or as an incremental XVA charge on existing portfolios

Highly Scalable

A unique exposure pipeline architecture supports the demands of performance and scalability of XVA calculations

Calculate Regulatory Capital

Monte Carlo simulator provides a Basel II and Basel III compliant advanced approach for regulatory capital calculations

Experience High Performance

A modern technology stack, leveraging multi-core optimisation that delivers scalable and high performance analytics


Piraeus Bank Logo

“Quantifi is a robust, light weight, and flexible XVA solution,
which was integrated smoothly and swiftly with our internal
systems and process. We trust that this new partnership with
Quantifi will help Piraeus fulfil the challenging current
and future regulatory requirements"

Christos Arvanitis, Head of Middle Office and Valuations 


Case Study 


Featured Video

Featured Video from Quantifi's 5th Annual New York Conference on Funding Costs (KVA, FVA, MVA) for Derivatives Trading


Funding Costs (KVA, FVA, MVA) for Derivatives Trading

The cost of funding has become a significant topic for financial institutions as it is regarded as a key component in analysing the exposures and profitability of a trade. Panellists from Quantifi's 2018 NYC Conference discuss the various adjustments (KVA, FVA, MVA) that need to be taken into account when pricing a trade.

Watch video