Technology

F3 delivers comprehensive, highly flexible, and scalable solutions for pricing, valuation, and risk challenges across the enterprise.

Risk Analytics

Comprehensive Coverage

F3 supports the full range of risk measures in common use today for comprehensive coverage of risk calculations, with no constraint on portfolio constituents. This enables you to produce a thorough and transparent view into your portfolio's exposure for regulatory purposes, internal reporting, and pursuit of competitive advantage. Metrics include, but are not limited to:

  • Comprehensive Greeks/sensitivities to every relevant risk factor
  • Hedge factors
  • Value at Risk (historical and Monte Carlo)
  • Conditional VaR/Expected shortfall
  • Scenario analysis and stress testing
  • CVA/DVA (including WWR and collateral agreements)
  • CVA hedging, marginal CVA, and CVA allocation
  • FVA

Consistent pricing and risk analytics

F3’s architecture enforces consistency between pricing and risk through natural and comprehensive reuse of its generic valuation and calibration technology in scenarios and VaR. Every valuation in the VaR distribution runs through exactly the same analytics as any other pricing or risk calculation, giving complete consistency between VaR and all other risk measures produced by the library. Approximate methods for performance improvement can be chosen explicitly and transparently.

Lazy evaluation and curve reuse

Hardware requirements for scenarios and VaR are reduced with pay-as-you-go computational cost for scenarios. Most market shocks apply to a subset of the market, not every single quote. This means that while some curves must be rebuilt in light of the changed conditions, others can remain the same. Knowing which is which requires tracking the relationships between curves and market data. In F3’s Consistent Market Model, this is done automatically, removing the tracking burden from the user. In addition, all curves are cached until they are invalidated by a change in the corresponding quotes.

In this way, scenarios in F3 are optimized, minimizing calculation overhead while remaining numerically correct. This in turn reduces the hardware requirements for a given scenario analysis computation, saving money and time.

High performance xVA

High performance CVA/DVA/FVA calculations are achieved by performing a single, risk-neutral valuation. F3’s approach to CVA is based on recognizing its tradable nature and casting it as an exotic risk-neutral valuation, reusing F3’s generic pricing capability. In doing so, any restrictions on trade type are removed – F3 can calculate CVA on any underlying portfolio, with support for collateralization via independent amounts and thresholds, while accounting for margin period of risk effects.

On-demand counterparty exposure for hedging decisions

Leveraging the tradable nature of CVA enables the application of Universal Algorithmic Differentiation™ (UAD) to CVA for hedging and risk analysis. By casting CVA as an exotic risk-neutral valuation, F3 brings the full power of its valuation and risk capabilities to bear on the CVA problem. UAD results in fast and accurate calculation of sensitivities of CVA, or a portfolio minus the CVA, allowing counterparty exposure to be accounted for in hedging decisions.

Coverage Sheet

F3 Advanced Analytics

F3 supports the full range of risk metrics in common use today with no constraint on portfolio constituents.

Technical Brief

UAD: Speed, Accuracy and Coverage

Unrivaled risk speed and accuracy over traditional methods commonly deployed for risk calculation.