Securitisation swaps are a critical, yet often neglected area of finance markets. This handbook provides an introduction to the basics, through to a detailed discussion of all the key risks and how a transaction is put together from start to finish. In Chapter 7, the authors offer some numerical examples to provide ballpark CFVA costs. These example use sophisticated Monte Carlo analytics developed by Quantifi. Quantifi has an established reputation as the market leader in analytics and is built on the latest technology and incorporating advanced numerical methods. Read More
Rohan Douglas, CEO, talks to Intel
As noted, the Finance domain provides many good candidates for vectorization. A particularly good example is the aggregation of Credit Value Adjustment (CVA) and other measures of counterparty risk. The most common general purpose approach to calculation of CVA is based on a Monte-Carlo simulation of the distribution of forward values for all derivative trades with a counterparty. The evolution of market prices over a series of forward dates is simulated, then the value of each derivative trade is calculated at that forward date using the simulated market prices. Read More
FRTB is intended to address the undercapitalisation of trading book exposures witnessed during the financial crisis. While the basic goals and ideas of FRTB are simple, it differs materially from the existing Market Risk regulations. FRTB is likely to have a substantial influence in the way firms are organised, and their approach to measuring and reporting risk. There will also be an overall business and operational impact. Banks need to decide whether the costs associated with operational and IT change is justified. Read More
Given current market practices around counterparty risk regulation, xVA management, funding and accounting, Helaba, one of the leading German banks, decided it needed to enhance its counterparty risk infrastructure for their OTC derivatives business. To support this initiative the bank wanted to pair their existing risk and core trading infrastructure with a modern, enterprise-wide XVA solution. The ability for senior management to get a comprehensive view of the bank's counterparty risk was one of the key priorities.
To remain ahead of market developments and regulatory requirements including EMIR and IFRS13 (CVA), AFD looked to complement their existing infrastructure with a single front-to-risk solution that combined high-performance technology with best-of-breed functionality. Limited by their incumbent systems, AFD required a core trading and portfolio management solution (PMS) that could provide a single view of risk, consistent analytics, and calculations to support central clearing.