BANKING

An Advanced Approach to XVA

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

Mitigate risk & enhance transparency

Sophisticated XVA Analytics

Traders and risk managers need the ability 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.

Modern, light system for fast, seamless implementation

Scalable technology to support future business growth

Proven track record of successful implementations

KEY FEATURES

An Integrated Approach to XVA

View XVA Enterprise-wide

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

Comprehensive XVA Measures

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

Consistent XVA Analytics

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

Perform Stress Testing

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

Calculate Regulatory Capital

Monte Carlo simulator provides a Basel II & Basel III compliant approach for regulatory capital calculations.

Experience High Performance

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

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

A 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.

Quantifi is a robust, lightweight, 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

FEATURED VIDEO

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.

insights

Navigate major trends & developments shaping the industry

Whitepapers

How to Accelerate XVA Performance

In the post-crisis world, an increasing number of banks have set up a centralized XVA desk. With the introduction of new regulations to ensure banks are adequately capitalized, it has become common practice to include certain costs in the pricing of OTC derivatives that, in many cases, had previously been ignored.

Case Studies

Helaba Enhances Enterprise-Wide Derivatives Counterparty Risk Management

Helaba, one of the leading German banks, with a workforce of approximately 6,300 and a balance sheet total of around EUR 180 billion, offers financial services to companies, banks, institutional investors and the public sector, both within Germany and internationally. The bank also acts as central clearing institution and service provider for 40% of German savings banks.

Whitepapers

A First View on the New CVA Risk Capital Charge

In July 2015, the Basel Committee of Banking Supervision (BCBS) published a consultative paper on credit valuation adjustment (CVA) risk to improve the current regulatory framework. In February 2016, first improvements of this framework have been introduced within the QIS instructions for the QIS based on December 2015 results.

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