Innovative risk management solution for derivatives portfolios

A desktop application with an Excel©-hosted interface

delivering advanced analytics and risk metrics

(Hedges, xVAs, Capital, …)

QxSolutions’ QxCell fills a gap in the world of financial analytics and risk management software solutions for institutions using derivatives on a small-to-medium scale.

When your derivatives portfolio consists of a thousand or so transactions, why use a large bank-sized system, or deploy calculations to the cloud?

For portfolios of such size, our unique solution can deliver market-standard valuations, risk metrics (in particular, credit risk such as xVAs) as well as capital metrics within seconds on a standard modern PC or laptop, all within a Microsoft Excel©-hosted interface.

By delivering market-standards analytics at the touch of a button, QxCell can solve risk, finance and Treasury teams’ ever-growing computational challenges stemming from derivatives, enhancing autonomy, efficiency, transparency and in-house capabilities.

Our innovative technology, through its countertrend “run-local” approach, is both eco-friendly and cost-reducing.

xVAs, in-house, in seconds

Modeling

Modeling meets market standards (dual yield curves, cross-currency basis swaps, CDS & funding, inflation, volatilities, …)
Simulations use widely-adopted models (e.g. Hull & White, Jarrow & Yildirim, ...)
Transaction Types

Various types of transactions are supported: vanillas, amortizers, cross-currency swaps, swaptions (cash or physical settled), CMS (plain, caps or floors), inflation-linked (zero-coupon inflation swaps, notional-indexed, …)
Metrics

In addition to mark-to-market and hedges, the available metrics are the usual xVAs (CVA, DVA, FVA), time-line-based exposures (EPEs, ENEs, EEs and PFEs) as well as capital-based measures (RWA & Leverage Ratio, SACCR / IMM)
Intelligent Dependency

Intelligent dependencies automatically filter simulation requirements, reducing simulation time.
Simulation data automatically derived from market data universe.
Transaction Specs

Trades can be edited (via simple GUIs), constructed or imported, and can contain any number of “legs” -fixed “leg”, float “leg”, etc.
Trades’ projected cashflows and resets are easily viewed.
"What-If" Scenarios

Scenarios of trades’ inceptions, transfers or terminations, all calculated within a single run. Collateral agreements specificities modifiable to assess impact.
View results as a “before & after” or net changes.
Speed & Accuracy

Simulations are fast without modeling or analytical compromise. Further accelerators available (variance reduction, multithreading, …).
Simulation results’ confidence intervals reported.
Granularity

Easy access to trades’ marginal contributions to xVAs (sensitivities to trades’ notional).
Hedges can be viewed at different granularity levels: trade, book, counterparty or whole portfolio.
Versatile Point-of-View

Results can be viewed from the user’s own point of view, looking at each counterparty, or
from all user’s counterparties’ point of view, each looking at the user.