Quantifi announced the release of two new products- Quantifi CVA (Credit Valuation Adjustment) and Quantifi Counterparty Risk - currently in beta testing with a select few clients.
Quantifi is a leading provider of analytics, trading and risk management solutions for the global capital markets. Its new CVA tool captures all relevant drivers of the exposure, including correlations (e.g., for wrong-way risk) and volatilities for Interest Rate Swaps, Cross Currency Swaps, CDS and CDO's for both individual trades and/or portfolios.
Quantifi Counterparty Risk will enable financial institutions to proactively manage counterparty and market risk and effectively address CVA accounting requirements and evolving regulatory capital standards, including the new guidelines for securitizations.
By incorporating a fully configurable high performance, multi-factor Monte Carlo simulation engine into Quantifi's powerful grid computing architecture, Quantifi Counterparty Risk will support even the largest, most complex portfolios, including those with significant 'wrong-way risk' and volatility.
Quantifi Counterparty Risk can perform as the primary platform for central CVA groups, function as an integrated component into existing platforms to provide a more robust solution for subsets of a portfolio or act as a desk-level CVA pricing system.