Counterparty Risk Solution

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Overview

A high performance platform that is intuitive to use, easily implemented and flexible to adapt to rapidly changing markets

Satisfying regulatory pressures and improving techniques for evaluating counterparty risk at an enterprise level are key priorities for banks. Regulatory authorities continue to encourage institutions towards portfolio simulation models that offer a holistic view of counterparty exposures. Quantifi is a high performance platform that can support the largest most complex portfolios, including those with significant wrong-way risk.

Key Features

Integrated Risk Platform - An integrated platform for credit, market and scenario risk calculations that leverages grid computing and data management capabilities

Limits-based Risk Management - Support for limits monitoring and management across all risk measures. Counterparty risk measures includes PFE

American Monte-Carlo Engine - A high performance, scalable engine supports market best practices including wrong-way risk, sensitivities, stress testing and pre-deal CVA

Conduct Pre-Deal Checks - Real-time credit line checks on new trades added to existing portfolios. Exposure calculated on an incremental basis

Calculate Economic Capital - Simulate counterparty exposures conditional on default, taking into account wrong-way risk, netting and collateral agreements

Comprehensive 'what-if analysis' - To all market observables to asses impact on exposures vs limits in stressed market conditions

CCR & Basel Risk Measures - Comprehensive support across a broad range of risk measures including PFE, EEE, EE to satisfy Basel lll regulation

Integrate Seamlessly - An open architecture and robust interfaces allow for seamless integration with existing systems with minimal workflow interruption

Key Benefits

  • Seamless integration with existing systems with minimal disruption
  • Proven market leading models incorporating industry best-practice and trusted by some of the most sophisticated financial institutions
  • Reliable and accurate - market validated at tier one firms
  • Full transparency and control for all model inputs, methodologies, data, and results
  • Ground breaking performance using multi-core technology and numerical optimisation
  • Fully integrated with data vendors for seamless data management
  • Intuitive to use
  • Execptional training and support

Product/Service details

SOLUTION OR SERVICE TYPE
Geographic Availability
Africa, Asia-Pacific, Europe, Middle East, North America, South America