FRTB

How to Accelerate XVA Performance

Monday, October 26, 2020

by Quantifi & Intel

One of the key challenges of XVAs is that adjustments need to be calculated on a portfolio basis rather than trade-by-trade. This requires dealing with a large number of computations and orders of magnitude more calculations for accurate results. The calculation of XVAs is highly complex, combining the intricacies of derivative pricing with the computational challenges of simulating a full universe of risk factors. Given the strategic importance of XVA, banks require enhanced capabilities and modern infrastructures to calculate the required credit, funding, and capital adjustments. As banks look to reduce, mitigate, and optimize XVA and other capital charges, they are investing in XVA capabilities in an attempt to solve the computational challenge of simulating a full universe of risk factors.

Preparing for the IBOR Transition: Technology and Models

Thursday, October 1, 2020

The IBOR transition impacts almost every part of the financial services industry including banking, capital markets, insurance and asset management. The imminent retirement of IBOR has forced financial institutions to conduct an end-to-end inventory of IBOR exposure. This should cover the full range of processes, models and systems, including pricing, valuation, risk management and booking. This process has revealed a number of challenges for financial markets participants, with many having to rethink their operations and technology infrastructure and adopting new technologies to help with the transition.  Read More

Quantifi Voted Best Data Analytics Provider in Waters Rankings 2020

Monday, August 3, 2020

Quantifi has won Best Data Analytics Provider in the 2020 Waters Rankings. These awards recognize overall quality of service in 30 categories and are voted for exclusively by WatersTechnology’s readership of over 10,000 industry practitioners. Quantifi has established a reputation as the market leader in analytics with a proven record of delivering timely, accurate and consistent front-to-back analytics to some of the world’s most sophisticated institutions, including top tier banks and leading investment managers.  read more

Q&A with Vasily Strela, Global Head of FICC Quantitative Strategies, RBC Capital Markets

Monday, July 30, 2018

Vasily Strela, Global Head of FICC Quantitative Strategies, RBC Capital Markets, talks about market developments, regulation and technology. Vasily is responsible for running the Fixed Income (rates, credit, muni, FX, mortgages) & Commodities quantitative teams. His team provides quant support to the business, which involves looking at new ways to enhance and adapt models to current market conditions i.e. new algorithms and how to apply them to the business. Read More

FRTB: Moving Towards a Practical Implementation

Wednesday, February 14, 2018
FRTB is set to revolutionise current market risk practices, placing emphasis on the coordination of operational, risk and data management processes as well as systems and technology. To best respond to these new demands, banks need to make the right ... read more

Risk Training: FRTB Course

Friday, January 19, 2018
As the FRTB implementation date looms ever closer, banks and regulators are still debating the rules and iterations of the regulations. Risk.net's training course returns to New York to help provide delegates with practical knowledge to better... read more

Portfolio Diversification in FRTB

Tuesday, December 5, 2017

by Quantifi & BearingPoint

The global financial crisis exposed the shortcomings of market risk management practices of the trading book. In January 2016, the Basel Committee for Banking Supervision (BCBS) overhauled the approach to assess capital requirements with the Fundamental Review of the Trading Book (FRTB). With a 2019 deadline, FRTB is expected to have significant impact on financial institutions and financial markets in terms of infrastructure, capital requirements and operational controls. Banks must adhere to the rules of the fundamental review of the trading book to avoid higher capital requirements.