OTC derivatives

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 making an investment in XVA capabilities in an attempt to solve the computational challenge of simulating a full universe of risk factors.

Calculating the Effect of Funding Costs on OTC Valuation

Thursday, February 27, 2020

In this article, Rohan Douglas, CEO, Quantifi and Dmitry Pugachevsky, Director of research, Quantifi, discuss the costs of funding OTC valuation. The implementation of new regulations, including Dodd-Frank, MiFID II, EMIR and Basel III, is significantly increasing the cost of capital and forcing banks to re-evaluate the economics of their over-the-counter (OTC) trading businesses.

Market best practice implemented by the most sophisticated banks now accurately measures all the components of a trade to analyse its profitability, including credit valuation adjustment (CVA), the cost of regulatory capital and, most recently, funding valuation adjustment (FVA).

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.

Quantifi Whitepaper Explores How Blockchain Could Change the Financial Markets

Tuesday, September 11, 2018

Quantifi has announced the release of their whitepaper titled ‘How Blockchain Could Change the Financial Markets’. The paper was co-written with Noble Markets, a provider of post-trade technology for the OTC markets and OKCoin, a leading blockchain technology company. The paper focuses on two important areas for financial markets – blockchain’s impact on financial transactions (OTC derivatives, syndicated loans) and risk management. read more

Part 2: How Blockchain Could Change the Financial Markets

Wednesday, August 15, 2018

by Quantifi, Noble & OKCoin

This whitepaper focuses on the applications of blockchain technology on various aspects of the capital markets. The blockchain technology platform is a distributed ledger technology (DLT) system, which has triggered a fundamental challenge to the nature of money, transforming current business processes. It is one of the most disruptive technologies available at present, designed to simplify the value chains around trading, payment and market infrastructure. If fully adopted, blockchain will create a more efficient, more transparent and more secure marketplace whilst reducing transaction processing costs.

Managing Liquidity Risk – Industry Perspectives

Thursday, August 10, 2017

This Q&A is taken from a webinar recently hosted by Quantifi, OTC Partners and BlackRock. The participants shared their perspectives on the importance of liquidity in the functioning of financial markets and the increasing regulatory pressures on buy side firms to ensure strong liquidity risk management practices are being carried out. Read More

Why Measure Counterparty Credit Risk?

Thursday, August 4, 2016

Counterparty credit risk (CCR) is currently one of the most complex topics for financial institutions. This complexity comes from many different sources but is primarily related to the multiple definitions and uses of counterparty credit risk. Therefore, the first question to ask yourself before modeling counterparty credit risk is why do you want to measure it? Read More

Quantifi Whitepaper Explores Cost of Trading and Clearing in the Wake of Margining

Tuesday, June 7, 2016

The whitepaper explores how recent regulations are affecting the OTC derivative markets in complex and interrelated ways, which in turn have changed the way firms do business. Over-the-counter (OTC) derivatives markets continue to be impacted by regulatory changes. These changes are increasing clearing costs and consequently trading costs, to an extent that could not have been anticipated by the market, given the complexity of these regulatory reforms. read more

Cost of Trading and Clearing OTC Derivatives in the Wake of Margining

Thursday, March 3, 2016

by Quantifi & Cognizant

Over-the-counter (OTC) derivatives markets continue to be impacted by regulatory changes. These changes are affecting the way financial institutions do business in multiple, interrelated ways. Rising capital requirements are impacting profitability and return on equity. Market participants are now being forced to clear standard OTC trades through Central Counterparties (CCPs) and will soon face margin requirements for the remaining, nonstandard, uncleared derivatives.