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
The week on Risk.net, September 8-14, 2018Receive this by email