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.

Better Manage Long-Dated Risks
Managing long-dated risks for pensions requires an in-depth understanding of trading positions and exposures in both current and evolving market conditions. But working with many different systems for valuation and risk prevents you from obtaining the accurate, consistent and up-to-date information you need to make optimal investment decisions.

 

F3 offers the comprehensive financial analytics you need to understand the valuation and risk profile of your asset/liability portfolio under all market environments, for optimal portfolio management. The solution provides multi-asset and multi-currency coverage for comprehensive hybrid modeling of complex structures. 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             

  • Secure Better Returns: With unmatched speed, F3 generates more accurate pricing, valuation and risk calculations, enabling improved trading and hedging decisions—better decisions lead to superior returns
  • Gain More Flexibility and Control: Quickly and easily build models and curves on the fly that reflect your market view and enable you to seize profitable trading opportunities
  • Effective Pension Management: Perform powerful stress-testing across different market environments, enabling risk management of portfolios or trade-level exposures
  • Get a Better Handle on Risk: Risk-based scenarios and a comprehensive scenario engine help you better understand your risk profile in different market environments.
  • Conquer Negative Rates: Gain the ability to use par rates and zero rates conventions for managing both assets and liabilities
  • Increase Transparency: Address 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: Generic object approach allows teams to model liabilities as cash flows for quantifying and managing longevity risk; get fine-grained model calibration and powerful curve construction for OIS curve-building
  • Unified Framework: Allows for analysis of pension liabilities, assets and hedging portfolios in one system, with multiple discount curves
  • 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
  • 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.

Case Study

Pension Insurer

"Either your analytics work or they don't. F3 works and that's all you need to know.”
-Portfolio Manager, Rates Desk, ALM

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