XVA

An Advanced Approach to XVA

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

Traders and risk managers need the capability to verify pricing and understand the risk of their derivative business. Quantifi addresses this need with an integrated counterparty credit risk and XVA solution. Market leading models provide fast, accurate results for all XVA measures, including CVA, DVA, FVA, KVA, MVA and economic capital. One of the biggest challenges for managing XVA is dealing with the sheer number of computations and calculating sensitivities. Quantifi’s advanced technology results in performance that can support large derivative books and a sophisticated American Monte Carlo engine supports sophisticated XVA analytics.

 

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

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

Perform Stress Testing

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

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

Cross-asset Support

Support for all types of derivatives - from vanillas to exotics, across all asset classes
Generate consistent XVA analytics

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

Sophisticated Data Management

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

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

Highly Scalable

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

Calculate Regulatory Capital

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

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



Rohan Douglas, CEO, talks about how Quantifi is leveraging Intel to enhance performance

 

Find out how Quantifi is leveraging Intel to enhance performance

Performance is critical to our clients being able to accurately measure their risks. For example, calculating the counterparty exposure for a mid-size bank’s trades may involve over 25 trillion trade valuations, each of which requires significant computation.
 

View Video