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The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

WestLB Selects Quantifi’s Cutting Edge Credit Valuation Adjustment Pricing Tool

Quantifi, a provider of analytics, trading and risk management solutions for the global capital markets, today announced that WestLB, a European commercial bank, has selected Quantifi’s next generation Credit Valuation Adjustment (CVA) pricing tool, Quantifi CVA.

Being able to correctly price and manage counterparty risk is a key priority for financial institutions as they look to establish best practice in the pre- and post-trade management of CVA. WestLB has been working with Quantifi for the last 2 years, using Quantifi XL for pricing and structuring. With the increasing need to better manage counterparty risk, WestLB made the decision to utilise Quantifi’s new CVA offering. Through Quantifi CVA, WestLB can quickly and accurately price and hedge the counterparty risk of new trades and existing portfolios.

“WestLB was looking for a fast, flexible and intuitive CVA solution to competitively and accurately price CVAs in near real-time. Quantifi CVA proved to be the ideal solution, as the semi-analytic models deliver superior performance without compromising accuracy. By using Quantifi CVA, traders and risk managers can now calculate CVA for new trades in seconds and identify the risk dynamics at the point of trade,” commented David Kelly, Director of Credit Products at Quantifi.

Quantifi CVA is a suite of Excel-based CVA pricing tools. Advanced semi-analytic models make it the fastest, most sophisticated and comprehensive CVA tool on the market. Best-of-breed CVA pricing models reflect current best practice, helping traders and risk managers correctly price in default correlation, i.e. wrong-way risk between the counterparty and the underlying asset, as well as volatility. Created in Excel for flexibility and ease of use, Quantifi CVA can be downloaded and deployed rapidly.

Rohan Douglas, CEO of Quantifi, comments, “I am excited to see such rapid adoption of our most recent product offering. Quantifi CVA is the result of our culture of innovation and clearly demonstrates our ongoing commitment to providing clients, such as WestLB, with groundbreaking solutions that give them a competitive edge in the market. We have maintained a long and successful partnership with WestLB and I’m delighted to continue supporting one of Europe’s leading banks.”

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