WestLB, a Germany-based commercial bank, has selected Quantifi’s credit valuation adjustment (CVA) pricing tool, Quantifi CVA.
Quantifi is a US based provider of analytics, trading and risk management solutions.
WestLB has been working with Quantifi for the last two years, using Quantifi XL for pricing and structuring.
Quantifi claims that its solution will enable the German bank to quickly and accurately price and hedge the counterparty risk of new trades and existing portfolios.
Quantifi Credit Products director David Kelly said that WestLB was looking for a fast, flexible and intuitive CVA solution to competitively and accurately price CVAs in near real-time. Quantifi CVA proved to be the ideal solution, as the semi-analytic models deliver superior performance without compromising accuracy.
‘By using Quantifi CVA, traders and risk managers can now calculate CVA for new trades in seconds and identify the risk dynamics at the point of trade,” Kelly said.