CVA Portfolio Management Solution

By: Markit  09-12-2011
Keywords: Risk Management

There is a reason why we are trusted to supply innovative risk management solutions to industry leaders. Because at QuIC, we understand that trading and risk professionals require accurate, fast and flexible analytical tools at their disposal. QuIC combines an unmatched computational backbone with ease of use, scalability and affordability. In short, we develop core technologies that excel.

QuIC’s CVA (Credit Value Adjustment) Portfolio Management Solution

This powerful solution reduces risk and frees up capital to provide greater trading potential.

This solution has been designed to deliver flexible, near real-time pricing, expected future exposure and incremental expected future exposure of large complex portfolios. The solution covers interest rates, foreign exchange, equity, commodities and credit instruments.

At the heart of its operation is the exceptional calculation speed of the QuIC Engine™.  Combining speed and power, this solution is able to return results for overnight and intra-day credit mitigation strategies, such as contingent credit trading with Contingent Credit Default Swaps (CCDS). This makes QuIC’s CVA Portfolio Management Solution the key to fast and flexible risk management.

Open, adaptable, fast and accurate exposure measurement and management

Freely adapt and customise proprietary methodology in this fully flexible modelling environment.

Every client is different. So are our solutions. With QuIC, professionals involved in trading and risk management can easily run a full range of simulation and pricing models to capture either market-implied or historical parameters. With this solution, you can incorporate user defined aggregation levels, which properly assess collateral and netting agreements. This will enable you to accurately calculate hedge parameters for market and credit risk factors.

We work fast – faster than competitors. And because the QuIC Engine is a market leader, accuracy isn’t sacrificed for computational speed. In fact, we’re able to run Contingent Credit Pricing, PFE (Potential Future Exposure) and EPE (Expected Potential Exposure) calculations simultaneously, with a full range of simulation analyses which include Historical Simulation, Credit VaR (Value at Risk), and custom scenarios.

All calculations are completed in a fraction of the time required by competitive risk management systems. Because credit risk is calculated using full re-evaluation of almost all instruments, total accuracy is assured.

  • REDUCE CAPITAL EXPOSURE
    Accelerate the speed, accuracy and frequency of risk calculation.
  • CUSTOMISE AND EXTEND RISK-ANALYSIS CAPABILITY
    Create and edit new models to handle complex instruments, analytics, and scenario generation.
  • DEVELOP NEW TRADING INSTRUMENTS FASTER
    Gain the assurance of full risk analysis and portfolio effects.
  • CREATE STRUCTURED PRICING TOOLS FOR EXOTIC AND HYBRID INSTRUMENTS
    Use simulation-based pricing to capture path dependency.
  • MINIMISE TECHNOLOGY COSTS
    QuIC’s technology employs fewer, lower-cost processors.
  • EXTEND YOUR EXISTING ARCHITECTURE
    QuIC’s solutions work alongside existing IT and/or risk management solutions.

Keywords: Risk Management

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