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, December 2–8, 2017Receive this by email