One of the largest asset and wealth managers in the world was looking for a single front-to-administrator solution for trading and risk management to address growth, market changes, and regulatory requirements including MiFID, EMIR, and Dodd-Frank for one of its premier funds. After a 5 month review of alternative internal and external solutions, Quantifi proved to be the clear leader, as it offered all the functionality best matching the client’s stringent requirements.
This global financial institution wanted to gain a better understanding of the mechanics of CVA pricing, especially on transactions involving multiple currencies. The firm’s widening credit spread dramatically increased CVA charges levied by dealers. Therefore the client wanted more transparency and a second opinion on these CVA charges. Quantifi generated a matrix of CVA prices and then analysed the differences between its results and the dealer quotes to help the client better understand the pricing dynamics.
Prior to the credit crisis, interest rate modelling was generally well understood. Following the crisis, interest rate modelling has undergone nothing short of a revolution. This whitepaper covers the new generation of interest rate modelling based on overnight index swap (OIS) discounting and integrated Credit Valuation Adjustment (CVA) and how this new framework requires a rethink of derivative modelling from first principles and presents significant challenges for existing valuation, risk management, and margining systems.
Recognised for being at the forefront of product and technology innovation, Quantifi has continued to make significant investment in R&D so that it can strategically address increased demand and better serve existing clients. Quantifi has also addressed key client issues with support for XVA, Central Counterparty Clearing (CCP), margin replication, OIS Discounting, regulatory reporting, PFE limit management, and funding costs analysis such as Funding Valuation Adjustment (FVA). read more
Quantifi & Deloitte webinar
Quantifi, EY & PRMIA seminar
Over 140 delegates, from across the industry including banks, asset managers, hedge funds, clearing houses and industry bodies, gathered for a compelling afternoon of unique insights and sharing of best practices on ‘The Dynamics Driving OTC Markets’. Chaired by Prof. Moorad Choudhry, Department of Mathematical Sciences, Brunel University, the conference explored the impact of regulations, the changing landscape of the OTC Derivatives market with respect to valuation and risk management, the role of central clearing, and the trend towards centralised XVA desks. read more
“Like many market participants, Asia-Pacific financial institutions are struggling to keep pace with the multitude of regulatory changes. Quantifi continues to address key client issues with support for XVA, Central Counterparty Clearing (CCP), margin replication, OIS Discounting, regulatory reporting, PFE limit management, and funding costs analysis such as FVA and CVA”. Rohan Douglas, CEO, Quantifi read more
V12.0 includes over 100 individual enhancements incorporating expanded asset coverage, modelling and regulatory updates as well as improved data management. Quantifi has an open, service-oriented architecture (SOA), which can be implemented using multi-core or grid computing, or through the cloud. This is part of Quantifi’s overall strategy for reducing the total cost of ownership for users and making the solution open and flexible. The light-touch architecture is easier to support and to integrate into a firm’s existing technology stack and 3rd party applications. read more