Case Study: Global Financial Institution achieves clearer CVA pricing transparency with Quantifi

CVA Pricing Analysis for Global Financial Institution

Global Financial Institution, a global bank operating in more than 50 countries with over 10 million customers, needed a better understanding of CVA pricing mechanics for its large portfolio of vanilla and exotic OTC derivatives across multiple currencies and asset classes. The firm was also being charged CVA by dealer banks and wanted more transparency and a second opinion on those charges. Quantifi helped address this challenge with its CVA pricing analysis approach.

Quantifi specified the market data and transaction terms needed for the calculation, recommended Monte Carlo simulation parameters, and analyzed the client’s sample dealer quotes for comparison. In just a matter of days, Quantifi produced a matrix of CVA prices expressed as upfront charges and running basis points, giving the client insights into pricing differences and helping it challenge counterparties more effectively on CVA charges.