XVA Solution

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Overview

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

Some banks assign responsibility for pricing and managing counterparty credit risk to a central XVA desk while others delegate to the individual business units. Regardless of how it is done, traders and risk managers need their own capability to verify pricing and understand the dynamics of the risk. This capability should capture all the relevant drivers of the expsoure, including correlation with the counterparty's default probability, while allowing maximum flexibility so that all input parameters can be stressed to ensure transparency. Quantifi addresses this need with fast XVA pricing tools built on modern technology.

Key Features

View XVA Enterprise-wide - A single, consistent XVA modelling framework to support for front-office, IFRS 13 accounting and 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

Cross-asset Support - Support for a broad range of asset classes including fixed income, credit, rates, FX, equities, loans and commodities

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

Sophisticated Data Management - Advanced set of tools and utilities to simplify the process of managing large amounts of trade, reference and market data

Real-time XVA - Real-time pricing of XVA on new trades independently or as an incremental XVA charge on existing portfolios

Highly Scalable - A unique exposure pipeline architecture designed to support the demands of performance and scalability of XVA calculations

Calculate Regulatory Capital - Monte Carlo simulator provides a Basel II and Basel III compliant advanced approach for regulatory capital calculations

High Performance - A modern technology stack, leveraging multi-core optimisation, that delivers scalable and high performance analytics

Key Benefits

  • Seamless integration with existing systems with minimal disruption
  • Results that match the market for even the most complex products
  • 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
  • Scalable technology to support future business growth
  • Execptional training and support

Product/Service details

Geographic Availability
Africa, Asia-Pacific, Europe, Middle East, North America, South America