Quantitative Analysis

Portfolio Valuation and Risk for Multi-Asset Derivatives and Fixed Income

Our flexible, high-performance, and transparent solutions help over 1,000 global organizations enhance investment returns, manage risk, reduce costs, comply with regulations, and provide confidence to investors and shareholders.

Unlimited Modeling Flexibility and Control
As a quant, you work to help your firm’s traders and portfolio managers put profitable trading strategies into action. But often inflexible systems mean you are investing countless hours building out models each time a new instrument comes along, or waiting for external vendors to do the work for you.

 

To rapidly meet the demands of the front office, you need ultimate flexibility and control over your models and curves. F3’s advanced modular framework enables fast modeling of virtually any instrument and delivers unmatched flexibility for custom curve building, making it easier to support traders and portfolio managers in quickly seizing opportunities.

How You Benefit

  • Generate More Alpha: Rapid model development enables your firm to quickly take advantage of new trading opportunities
  • Get Future-proof Valuation and Risk: Accurately value and risk manage derivatives, including MBS and interest rate derivatives impacted by negative interest rates
  • Gain More Flexibility and Control: Quickly and easily build models and curves that reflect your market view
  • Instill Confidence: Transparent models build trust across the organization and provide analytical integrity
  • Leverage Internal Models: Generate comprehensive risk analytics by integrating your proprietary models with F3
  • Improve Consistency and Collaboration: Front and middle offices are armed with consistent valuation and risk results; models can be shared centrally

Key Features

  • Advanced Modular Framework: Modular objects are added together to create virtually any product, and a simple scripting language defines custom structures
  • Multi-curve Construction: Advanced curve building allows multiple interpolation methods within a curve and the flexibility to control stochastic processes
  • Industry Standard Models: Complete set of fully documented industry standard models, including handling of negative rates
  • Bespoke Models: Proprietary models integrate with the F3 analytics framework
  • Excel Integration and Consistent Market Model: Central management of all models, curves, assumptions and data

Contact us to learn more, or request a custom demo.

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Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.

eBook

3 Keys to Flexible Curve-Building

Learn how to future-proof your firm using flexible curve-building.  

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