Research Director at Quantifi, Dmitry Pugachevsky, speaks with Crain's New York's, Aaron Elstein on the topic of the financial crisis as relates to banks. Awfully Hard to Fathom “I agree all this may seem counterintuitive, to say the least,” said Dmitry Pugachevsky, a former JPMorgan... read more

In a story surrounding CVA for Risk.net, Clive Davidson makes mention of Quantifi's incorporation of the American Monte Carlo model into the CVA and Counterparty Risk solutions offered by the award winning software vendor. Visit Risk for the story (Subscription required) read more

Quantifi, the provider of analytics and risk management solutions to OTC markets, has announced first-to-market support for Funding Valuation Adjustments (FVA) as part of its latest Version 10.2 release. This enhancement aims to allow firms to accurately measure the effect of funding costs on... read more

Reuters reports: Using Quantifi Counterparty Risk, clients now have the ability to measure both the value and sensitivity of FVA at a trade and a portfolio level. Quantifi Counterparty Risk, a next generation counterparty risk system, is designed from the ground up to uniquely satisfy the... read more

By: Nicholas Pratt Rohan Douglas, Quantifi CEO: What is the single biggest risk-based issue that will affect buy-side firms in 2012? The biggest issue is cost pressure. Implementing new regulations will increase this pressure and may result in higher transaction fees, wider bid-offer ... read more

Creditflux article by David Wigans Dealers face a backlash from some large European counterparties that are charged extra on swap trades for their own risk of default, but who don't get a corresponding credit for their potential exposure to bank spreads. ...."The bottom line is that if a ... read more

A tail risk Credit desks breathed a sigh of relief, therefore, when the European Central Bank decided to pump billions of liquidity into the market via its long-term refinancing operation, which began on December 8. The head of European credit at a leading US investment bank said: “I... read more

The impact of credit spreads on US bank earnings has become so volatile that it is causing a rethink of derivatives valuations. Last month’s earnings releases revealed such sharp swings from Q3 to Q4 and on a year-on-year basis that banks either reported some of their worst earnings results or... read more

DVA best practises still evolving Debt value adjustment (DVA) became a hot topic when banks announced their 3Q11 earnings, due to the magnitude and direction of the amounts reported. Best practises for pricing and hedging DVA have yet to be established, with swings in this component of bank... read more

An analysis of US bank earnings suggests there is widespread confusion over how to measure so-called debt value adjustment, according to analysis by Quantifi. Bank of America reported an $82 million loss, when, by Quantifi's calculations, it should have posted a loss of $474 million. Citi... read more