Counterparty Risk

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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.

Satisfy Basel lll Regulatory Measures - Comprehensive support across a broad range of risk measures including PFE, EEE, EE to satisfy Basel lll regulation.