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
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.
A unique exposure pipeline architecture supports the demands of performance and scalability of XVA calculations.
How to Accelerate XVA Performance
Given the strategic importance of XVA, banks require enhanced capabilities and modern infrastructures to calculate the required credit, funding, and capital adjustments. As banks look to reduce, mitigate, and optimize XVA and other capital charges, they are investing in XVA capabilities in an attempt to solve the computational challenge of simulating a full universe of risk factors.
During the due diligence process, Quantifi’s single solution for the calculation of xVA measures proved to be more sophisticated, flexible and scalable compared to other solutions we considered.
Leveraging Intel to enhance performance
Navigate major trends & developments shaping the industry
The calculation of XVAs is highly complex. One of the key challenges of XVAs is that adjustments need to be calculated on a portfolio basis rather than trade by trade. This requires dealing with a large number of computations and orders of magnitude more calculations for accurate results.
Piraeus Bank (Piraeus) is the largest bank in Greece, in terms of assets, and is considered the most innovative in the Greek market.