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.

Robust Valuation and Risk for Complex Portfolios

As an auditing firm, you are responsible for evaluating your client’s financial positions, processes and relationships for accuracy, consistency and compliance. But this task can be arduous and time-consuming if you lack a modern valuation and risk system that offers flexible functionality for pricing complex instruments, performing valuations on large-sized portfolios and generating necessary regulatory and business reports.

F3 makes auditing firms’ valuation and risk numbers and processes easier by providing fast and accurate pricing, valuation and risk of multi-asset multi-currency derivatives and fixed income instruments. F3 delivers the flexibility and control needed by the most demanding quantitative teams, the speed and accuracy needed by portfolio managers and traders, and the comprehensive reporting and analysis needed by risk managers. Plus, all teams are aligned with a consistent, enterprise-wide view of modeling, valuation, and risk results.

How You Benefit

  • Get Future-proof Valuation and Risk: Accurately value and risk manage derivatives, including MBS and interest rate derivatives impacted by negative interest rates
  • Gain Comprehensive Risk Analysis: Powerful stress-testing across different market environments, enables risk management of portfolios or trade-level exposures
  • Streamline Hedge Accounting: Access comprehensive hedge effectiveness test reports for compliance with IFRS hedge accounting standards, full pass/fail hedge testing transparency, and greater visibility into your hedging portfolio performance
  • Enjoy Incredible Flexibility: Get infinite flexibility in running scenarios, determining cash flows and profit and loss (P&L), as well as performing stress testing
  • Address Regulations: Overcome regulatory challenges with full transparency into all models, data, intermediate calculations, and assumptions; validated models and analytics are tested in the marketplace and trusted by financial institutions globally

Key Features

  • Advanced Modular Framework: Modular objects are added together to create virtually any product, and a simple scripting language defines custom structures; get fine-grained model calibration and powerful curve construction for OIS curve-building
  • Multi-curve Construction: Advanced curve building allows multiple interpolation methods within a curve and the flexibility to control stochastic processes
  • Scenarios, Stress Testing, and VaR: Performance and P&L attribution, scenario analysis, powerful stress testing across market environments, real-time sensitivities and VaR enable comprehensive analysis of portfolio risk
  • Valuation Adjustments: F3 provides the unique ability to compute xVA on any derivative type; including high-performance portfolio-level CVA
  • Near Instantaneous Greeks and Sensitivities: FINCAD’s Universal Algorithmic Differentiation® (UAD) technique speeds up Greeks and sensitivities calculations by orders of magnitude over bumping
  • Scalability: F3 is a scalable, distributed enterprise valuation and risk system for scaling complex and large computation requests
  • Implementation and Ongoing Support: FINCAD Professional Services ensures your solution will be customized to your needs and operational in minimal time; clients also have the option to outsource software development and configuration to FINCAD

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.