Quantifi Releases Basel III-Ready Risk Modeling Software

Takes into account recent market changes, tries to assess counterparty risk, automates mapping of loan information from trustee reports.

Quantifi has released a new version of its price and risk modeling software designed to help banks comply with Basel III recommendations as well as new risk management requirements to come out of the Dodd-Frank financial reform legislation.

The new version, V9.4, includes the following updates:

- Expanded asset coverage including broader support for interest rate derivatives, inflation products, global bonds, convertibles and CLOs

- Support for recent changes to the OTC markets including ‘dual-curve’ yield curve construction and new Asian standardized CDS contracts

- Performance enhancements including optimized ‘smart’ load balancing and new approaches that dramatically improve speed and storage requirements for very large flow trading books

- Usability improvements including a new wizard for automating rate resets and a new application that automates mapping of loan information from trustee reports

- Infrastructure improvements including a full audit trail that captures all changes to trade and risk information

V9.4 also incorporates Quantifi’s credit valuation adjustment and counterparty risk solutions, Quantifi CVA and Quantifi Counterparty Risk.