FINCAD enhances its valuation and risk platform

FINCAD, the leading provider of enterprise valuation and risk analytics for multi-asset, multi-currency portfolios, today announced that it has added several enhancements to its innovative enterprise valuation and risk platform. The firm’s updated F3 Analytics now allow users to trade European Swaptions despite low and negative interest rates in the Eurozone.

In response to client demand, F3 has implemented shifted SABR and shifted Black Swaption volatility models, the industry standard approach to handling negative interest rates. These models enable accurate modeling, pricing, trading, and risk management of European Swaptions in a negative rate environment.

FINCAD’s updated F3 Platform also offers improved integration with clients’ proprietary models. Users can plug in their own valuation algorithms that are centrally accessible.

Another key enhancement of F3 Platform addresses one of the investment industry’s most pervasive problems: costly inefficiencies and errors that arise from reliance on desktop spreadsheets for pricing, valuation, and risk. The traditional approach has been to use spreadsheets with models, curves, market data and assumptions all contained in the spreadsheet. F3 Platform centrally manages the models, curves, data, and assumptions while allowing users to view results in Excel. This central management dramatically reduces the potential for errors in valuation and risk results, and also ensures consistent results across the enterprise.

Ensuring consistency of these inputs and resultant risk and valuation output with an enterprise valuation and risk platform is enhancing returns, informing the most efficient use of capital, ensuring regulatory compliance, and building investor confidence.

From model development, to trading, risk management and model validation, the updated F3 Platform centrally manages all models, curves, assumptions and data. This enables:

• Consistent, arbitrage-free valuation and risk results across the front and middle office
• Minimized trading losses from spreadsheet errors and manual data entry
•  A simplified model validation process
• Collaboration and efficiency in the trading workflow

“The platform approach to valuation and risk analytics provides the necessary enterprise-wide, transparent, and consistent view of risk for regulators and also creates a competitive advantage for firms by driving operational efficiency and efficacy,” said Cubillas Ding, Research Director at CELENT. “Proactively adopting a platform approach to investment and risk management will not only prepare firms for a regulation-heavy industry, but also drive operational alpha, enabling a more realistic and complete view of investment opportunities and risk across the enterprise as a whole instead of in parts.”

With F3 Platform, users across the front and middle offices can collaborate and share models, curves, and data in near real-time, adding efficiency to the investment workflow. It is deployed in your IT infrastructure, integrates with existing systems, connects with data feeds including Bloomberg and Thomson Reuters, and interfaces with F3 Excel® Edition, F3 toolbox for use with MATLAB®, and high-level APIs for customized solution development.

In addition to F3’s industry-leading analytics flexibility, speed, accuracy, and transparency, F3 Platform delivers a holistic view of risk across an entire organization. James Church, VP of Product and R&D at FINCAD, said, “Today’s release marks a significant step in the evolution of valuation and risk analytics. F3 Platform-to-Excel integration enables users to work in spreadsheets where it makes sense and leverage F3 Platform for everything else.”

Church added, “Firms recognize the strategic value of enterprise risk management, and that consistent, centralized data and analytics enable better decisions."