Saturday, February 18, 2012
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...
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Thursday, February 16, 2012
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...
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Wednesday, February 01, 2012
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...
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Monday, January 23, 2012
Quantifi receives one of the most prestigious global risk management technology awards with accolades for OIS discounting, CVA/DVA, ease of implementation and customer satisfaction
London and New York - Quantifi, a leading provider of...
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Thursday, January 12, 2012
By KATY BURNE
Accounting rules that helped U.S. banks list billions of dollars in paper gains on derivatives in the third quarter of 2011—boosting their bottom lines—may now work against some banks as they post losses for that line item in...
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Wednesday, January 11, 2012
Accounting rules that helped U.S. banks list billions of dollars in nominal gains on derivatives in the third quarter of 2011 may force some banks to post losses for that line item in the fourth quarter.
The losses, paradoxically...
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Tuesday, January 10, 2012
Market participants have endured a 12-month period of dramatic upheaval. Despite the challenges they faced, some companies managed not just to survive but to thrive – and helped clients to do so, too.
As the US debt ceiling talks laboured...
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Tuesday, January 10, 2012
Over the past few years, pricing practices have changed dramatically, in particular to capture the credit value adjustment (CVA) that reflects the chance a counterparty will collapse while owing money on a trade, and to discount collateralised...
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Tuesday, January 10, 2012
Standardized credit support annex to benefit swaps market.
The launch by the International Swaps and Derivatives Association of a standardized credit support annex (SCSA) will accelerate the trend toward a more accurate method for pricing OTC ...
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Tuesday, January 10, 2012
By Clive Davidson
A splintering of the eurozone would require a host of changes to financial technology – from minor tweaks to major re-engineering. Some companies are working out how they would cope.
Two years ago, the break-up of the...
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Monday, January 09, 2012
Co-hosted by: Quantifi & PRMIA
The OTC markets are going through significant changes due to new national regulations on derivatives and the impending Basel III capital accord. Many of these changes are being driven by counterparty risk...
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Monday, January 09, 2012
Analytics providers expand coverage to asset class.
As demand continues to escalate for FX and FX derivatives, providers of analytics software are building out their product to service the asset class.
Quantifi, a provider of analytics,...
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Sunday, January 01, 2012
TREND No. 5 Risk model validation. Another trend, driven not just by Basel, but by the intensified scrutiny of banks in general in the aftermath of the financial crisis, is the validation of risk models and reporting on the use and effectiveness...
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Monday, December 19, 2011
By Boris Agranovich
With tons of speculation about the future of the OTC derivatives market and the need for financial reform and increased transparency, market practitioners are a great source for comments on the evolution of the market, how ...
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Friday, December 16, 2011
David Kelly, director of credit products at data analytics provider Quantifi, said the new indexed CCDS ought to alleviate several simulation problems that existed with original CCDS. “Doing this on a single-name by single-name basis has never...
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Tuesday, December 06, 2011
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2nd - 3rd February 2012
Quantifi is Business Development Partner at the 3rd Annual Conference 'CVA and Counterparty Risk: Furthering methodology for CVA in advance of the full implementation of Basel lll'
...
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Monday, December 05, 2011
How the Credit Crisis has Changed Counterparty Risk Management
By David Kelly
Introduction
The credit crisis and regulatory responses have forced banks to substantially update their counterparty risk management processes. New...
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Tuesday, November 29, 2011
Regulatory compliance
Keeping in line with new regulations will be high on the list again in 2012. The US Dodd-Frank Act has been passed, but uncertainty still surrounds the details of how the Act’s requirements will be translated into...
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Wednesday, November 16, 2011
Quantifi, a leading provider of analytics, trading and risk management solutions to the global OTC markets, today announced the latest version release of its pricing and risk analysis software. Driven by client needs and transformations in the...
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Tuesday, November 15, 2011
New foreign exchange coverage and expanded coverage for interest rate products
Supports the latest Basel III, EMIR and Dodd-Frank regulatory initiatives
Delivers risk reporting, data management and extendibility...
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