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West LB Picks Quantifi for Counterparty Credit Valuation

Published September 15, 2010 2:36 PM EDT 1 Min Read

WestLB selected Quantifi’s Credit Valuation Adjustment (CVA) pricing tool, Quantifi CVA, for accurately pricing and hedging the counterparty risk of new trades and existing portfolios.

WestLB has been working with Quantifi for the last two years, using Quantifi XL for pricing and structuring.

“WestLB was looking for a fast, flexible and intuitive CVA solution to competitively and accurately price CVAs in near real-time,” said David Kelly, director of credit products at Quantifi. “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.”

Quantifi CVA is a suite of Excel-based CVA pricing tools that help traders and risk managers correctly price in default correlation, i.e. wrong-way risk between the counterparty and the underlying asset, as well as volatility.

Quantifi CVA can be downloaded and deployed rapidly.

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