Quantifi: CVA pricing model

david-kelly-quantifi — David Kelly, Quantifi

- Credit staff
- 01 Nov 2010

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Credit derivatives vendor Quantifi has produced a credit valuation adjustment model, which enables users to actively manage credit and counterparty risk. Launched in September, Quantifi CVA is designed to be used in synch with the vendor’s pre-existing Monte Carlo simulator for regulatory capital calculations.

“The CVA is meant to be a trading desk level tool. The Monte Carlo simulator is more of an enterprise, counterparty and market risk system,” says David Kelly, Quantifi’s director of credit

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