Firm acquires F3 to accurately calculate Credit Value Adjustment
FINCAD, the market leader for innovative over-the-counter (OTC) derivatives solutions,
announced today that one of Canada’s largest investment management firms has selected
F3 as its counterparty risk management solution. With F3, the Company is now able to
accurately calculate Credit Value Adjustment (CVA) for its portfolios.
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.”
