OIS discounting

Interest Rate Models - OIS & CSA Discounting

Thursday, February 27, 2020

Prior to the credit crisis, interest rate modelling was generally well understood. The underlying fundamental principles had existed for over thirty years with steady evolutions in areas that were most relevant to options and complex products. Credit and liquidity were ignored as their effects were minimal. Pricing a single currency interest rate swap was straightforward. A single interest rate curve was calibrated to liquid market products and future cash flows were estimated and discounted using this single curve. There was little variation between implementations and results across the market were consistent.

Overhaul of Interest Rate Modelling

Wednesday, February 26, 2020

There is compelling evidence that the market for interest rate products has moved to pricing on this basis, but not all market participants are at the stage where existing legacy valuation and risk legacy valuations are up to date. The changes required for existing systems are significant and present many challenges in an environment where efficient use of capital at the business line level is becoming increasingly important.

Global Asset and Wealth Manager Selects Quantifi for Portfolio Management

Friday, March 31, 2017

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.

 

CVA Pricing Analysis for Global Financial Institution

Thursday, March 30, 2017

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. 

 

OIS and CSA Discounting

Monday, January 25, 2016

by Quantifi

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.

Quantifi Awarded Risk Management Software of the Year for Financial Risk

Wednesday, November 18, 2015

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

IFRS 13: CVA, DVA, FVA

Thursday, February 12, 2015
This webinar examines the challenges, risk factors, calculation techniques, and concepts for measuring financial instruments under IFRS 13, as well as the hedge accounting implications. Deloitte recently consulted globally on the hedge accounting... read more

Quantifi’s London Risk Conference Provides Unique Insight on ‘The Dynamics Driving OTC Markets’

Thursday, October 9, 2014

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