[Hemera]/Thinkstock. Plataform. AfiVal. Financial asset valuation

Transcription

1 [Hemera]/Thinkstock Plataform AfiVal Financial asset valuation

2 What is AfiVal? AfiVal is the online financial asset valuation platform developed by Afi. For over 10 years, Afi's quantitative finance area has been developing and marketing a technology platform for the provision of valuation and risk management services to credit entities, fund managers, insurance underwriters and non-financial entities. This platform benefits from Afi's full expertise in the valuation of financial assets of all classes, ranging from plain vanilla assets to the most complex instruments. Growing demand on the part of our clients for increased information and capability access prompted the creation in 2010 of an online platform whose use is restricted to users of our valuation services. The main capabilities offered are: 4 Access to historical intelligence for all valuations performed by Afi using the asset valuation service. This information includes the valuation characteristics and results for individual portfolio instruments and the inputs used in the valuation work (curves, volatilities, dividends, etc.). Ability to attend to discretionary requests to value or re-value instruments as of any date. 4 Direct modelling and valuation of standard instruments by users. 4 Ability to perform a broad battery of hedge effectiveness tests. 4 Information availability alerts (valuation processes, etc.) by . 4 Automatic integration with internal client software or systems. 2

3 4 The system has a valuation signature tool which certifies valuations as independent expert appraisals for auditors / supervisor presentation purposes. Valuation process With this platform, instruments can be input and valued by the client or by Afi. All valuations are run using robust and reliable logarithms which are constantly updated to reflect best market practice. The AfiVal system allows users to access historical valuations performed (by Afi and directly by the client); view the valuation inputs and download them in flat file format; modify parameters; and request re-valuations as of any date. The ability to access and modify inputs such as discount factor curves, spot prices, correlations and interest rate volatility, coupled with the system function enabling re-valuations at any date, puts our clients in full control, allowing them to evaluate the valuation process, analyse alternative scenarios and monitor positions daily, etc. In order to guarantee the validity of the valuations and compliance with regulations stipulating third-party portfolio valuations, the platform is equipped with the Afi Seal, which certifies that the valuations have been performed, reviewed and approved by the Afi team. In these instances, the term sheets for each instrument are analysed and modelled before being uploaded into AfiVal. In the case of particularly complex or unusual instruments, tailored valuation models are developed for incorporation into the platform, ensuring in this manner comprehensive portfolio coverage (including CDOs, range accruals, basket-linked products, cancellable swaps, first-to-default, etc.). 3

4 In parallel to addition by Afi of instruments of any class to the platform, the system will gradually be programmed to allow users to introduce various types of standard instruments and certain more complex products (subject to standardisation) that are widely used in the marketplace. The platform enables enhanced valuations of illiquid instruments (securitisations, covered bonds, subordinated debt, etc.) through the use of credit spreads obtained following meticulous selection and cross-checking of market information sources. Technology The AfiVal architecture has been designed to permit system access by actual users as well as the entity s IT and computation systems. In both instances, connection in encrypted. A range of authentication methods are available, depending on the entity s requirements. All information is accessed through a unified security, logging and tracing framework that enables itemisation of the system s use down to the most granular level of information (user, origin, action, purpose, version). Users can access the system from any browser without having to install any software in the client s environment (zero footprint). To facilitate the integration of AfiVal with other systems (accounting, risk datamarts, approval workflows and all other solutions), Afi has developed a complete system access and communication API based on the most highly-sought standards (REST, WS, JSON). To ensure high performance under any usage conditions (ranging from sporadic calculation requests to month-end launches), the calculation engines have been integrated within grid architecture to enable rapid deployment of the calculation drivers, which in turn renders the system highly scalable. 4

5 Team and experience The Afi professional team pioneered the implementation and dissemination of quantitative analysis in Spain, providing valuation and risk measurement services (market, credit, liquidity, counterparty risk, etc.) to a large number of Spanish financial institutions as well as to the main non-financial Spanish entities. Our prestigious Masters in Quantitative Finance has served to keep us on the top of our game in terms of academic research, while simultaneously bolstering financial sector skills by educating several hundred professionals who are currently working front office, in risk management, audit, supervisory roles, etc. Our consultancy services are always guided by our flexibility and thoroughness pledges, attending to one-off as well as recurring requirements. To complement our range of online client services, Afi offers a dedicated risk management and measurement tool, AfiRisk, which is used daily by top-notch entities to calculate VaR and to perform sensitivity analysis, stress-testing, back-testing, etc. Contact For any further information or enquiries, please contact: Contact: Ángel Moreno amoreno@afi.es Tel: Website: 5

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