The JC Rathbone Associates (JCRA) risk management consultancy, which advises corporate and treasury clients, has selected Quantifi as its primary solution provider for counterparty risk analytics, as it attempts to improve its client service by installing updated credit value adjustment (CVA) software.
JCRA required a comprehensive and intuitive solution that could be rapidly implemented to deliver accurate, transparent and immediate CVA pricing for a range of vanilla and exotic over-the-counter (OTC) derivative options. After a detailed review and competitive tender, JCRA selected Quantifi based upon the ease-of-use of its CVA software, reporting capabilities and its support services.
“The combination of Quantifi’s product coverage, [risk] modelling techniques and advanced technology has significantly enhanced our counterparty risk management offering,” said Ivan Harkins, director at JCRA. “With the advent of IFRS 13 [the ‘fair value’ assessment], CVA becomes a required component of derivative valuations for many companies. We sought a proven CVA solution that is reliable, flexible and intuitive but also sophisticated enough to provide real value-added services for our clients. Quantifi proved to be the ideal solution.”
By leveraging Quantifi’s American Monte Carlo engine we can carry out end-of-day and incremental CVA analysis on complex portfolios, “ continued Harkins, when discussing the rationale behind the recent installation.
Quantifi provides pricing and structuring for complex OTC products in a fast, flexible and intuitive manner, asserts the vendor. Quantifi’s CVA module uses semi-analytic and Monte Carlo models and it says its CVA pricing models reflect current best practice, helping clients correctly price wrong and right-way risk.
According to Rohan Douglas, chief executive officer (CEO) of Quantifi: “Advisory businesses need tools that are flexible and easy to use, but also sophisticated enough to provide real value-added services for their clients.” He is confident that the implementation of Quantifi’s CVA tools at JCRA will fulfil this requirement.