Counterparty Credit Models Herald New Workflows

rohan-douglas-ceo-quantifi
Quantifi CEO Rohan Douglas. The analytics provider aims to stay ahead of counterparty risk, but requirements are changing.

Pre-crisis, credit limit management was formerly a function of banks' middle offices. But ironing out which front-office desks should be limited by measures like credit valuation adjustment (CVA) and potential future exposure (PFE) ─ a calculation that determines, along with a counterparty's default probability, the net of CVA ─ creates a whole new challenge.

That was one of the takeaways from a whitepaper jointly published this week by analytics software provider Quantifi and London-based

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