Prior to F3, the firm used an in-house system of spreadsheets to calculate CVA, but needed a more robust and precise tool to evaluate and manage counterparty credit risk. The Company has selected F3 as its portfolio-level CVA solution to accurately calculate CVA and Potential Future Exposure (PFE) for fixed income, interest rate and credit instruments. The investment management firm plans to expand its use of F3 to include more middle office and valuations users.
Calculating counterparty credit risk is a complex and involved process, requiring sophisticated technology and users. However, F3 significantly reduces the challenges involved in this process and easily provides the investment management firm with reliable and accurate valuations, at a competitive rate.
“Given the current volatility of the financial marketplace, CVA is an increasingly important measure, but implementing a comprehensive, accurate counterparty risk system can be a challenging process,” said Bob Park, CEO and President, FINCAD. “Key challenges to calculating CVA include a lack of flexibility, inconsistent modelling techniques, inability to capture offsetting exposure of netting sets and incorporating and adjusting to changing regulations, such as Basel III. F3 was designed to provide our clients with the flexibility and power to overcome these challenges.”
Founded in 1990, FINCAD provides advanced modeling solutions built on award-winning, patent pending technology. With more than 4,000 clients in over 80 countries around the world, FINCAD is the leading provider of financial risk analytics technology, enabling global market participants to make informed hedging and investment decisions. FINCAD provides software and services supporting the valuation, reporting and risk management of derivatives and fixed income portfolios to banks, corporate treasuries, hedge funds, asset management firms, audit firms, and governments. FINCAD Analytics can be accessed through Excel, MATLAB, as a Software-as-