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.

WHITEPAPER

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.

Volker Wittemann, Head of Credit Products & Bonds, Risk Control, Helaba

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

Videos

How to Accelerate XVA Performance

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.

Client Stories

Piraeus Bank Addresses XVA Requirements with Quantifi’s Single Solution

Piraeus Bank (Piraeus) is the largest bank in Greece, in terms of assets, and is considered the most innovative in the Greek market.

Whitepapers

A First View on the New CVA Risk Capital Charge

The impact of the new CVA risk regulation framework on calculation methods and the infrastructure of banks could potentially be the turning point for many of the medium-sized institutes we are seeing in the market.

Let's Talk!

Speak with one of our solution experts
Loading...