Multi-asset, Multi-currency Derivative Solutions

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.

Counterparty Risk

Among many sources of risk, counterparty risk has specifically become a relevant concern in corporate governance and enterprise risk management in the post-2008 financial landscape.

Basel III capital charges and IFRS fair value requirements are driving financial firms to assess and understand the market value of counterparty credit risk (or credit valuation adjustment, CVA), of own credit risk (DVA), and of funding a trade (FVA). A capital charge is a pillar in measuring counterparty credit risk in Basel III standards, while fair value accounting standards require the present value of non-cleared OTC derivatives to be marked-to-market.

Beyond regulatory requirements, good risk management practices also include actively managing counterparty risk as a business practice and to hedge profit and loss volatility.

Faster Counterparty Pre-trade Decisions

In addition to offering the classical approach to calculating CVA with Monte Carlo, FINCAD offers a unified approach which treats your CVA calculation as a pure pricing problem. By utilizing the pricing engine alone in the unified approach, you not only get the fastest CVA calculation but also gain instant analytical sensitivities on CVA thanks to FINCAD's patented Universal Algorithmic Differentiation™. This means your pre-trade estimation of marginal CVA and CVA allocation solutions are more reliable and available immediately.

CVA for Any Netting Set

FINCAD runs CVA by portfolio-level netting set, and includes the impact of collateral agreements. Generic architecture enables CVA calculations for simple to structured contracts with equivalent ease. Non-existent or illiquid CDS instruments can be synthesized with user-built indices, enabling you to run CVA on the exotic contracts you want to engineer.

Efficient xVA

FINCAD's F3 Platform runs xVA quickly with a high degree of computational efficiency. Through techniques such as lazy evaluation, caching, and curve reuse across portfolios, the cost of calibration can be deferred until needed for valuation and then paid on an as-needed and incremental basis. Each curve is guaranteed to be defined once, built once, and reused across portfolios to optimize your xVA runtime.

Data Management

F3 Platform stores, persists, and manages your data for easy and intuitive access across the enterprise. Advanced tagging mechanisms provide you with both aggregate and granular detail about your counterparty risk to drill down into your risk drivers. Low-latency sharing of information between calculation engines ensures consistency of results, while agnostic and persistent data storage provides flexible deployment on industry standard relational database servers.

Intra-day risk and valuation

Distributing calculations on F3 Platform minimizes your time to market, optimizes resources, and makes intra-day risk and valuation easier. You can base your decisions on the most current information by running computationally intensive intra-day calculations without waiting all night. Your resources are utilized effectively and your time to market is minimized. 

White Paper

Approaches for Credit Value Adjustment

A more robust method for accurate calculating CVA.

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