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XVA

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Overview

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

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.

Key Features

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.

Product/Service details