by Quantifi & Intel
Quantifi & Intel
In the post-crisis world, an increasing number of banks have set up a centralized XVA desk. With the introduction of new regulations to ensure banks are adequately capitalized, it has become common practice to include certain costs in the pricing of OTC derivatives that, in many cases, had previously been ignored. To assist in the pricing for the cost of dealing with a counterparty in a derivative transaction, the markets have developed various metrics including CVA, DVA, FVA, ColVA, KVA, and MVA—collectively known as XVAs. Read More
Quantifi has won Best Pricing & Analytics: Fixed Income, Currencies and Credit at the Risk.net Markets Technology Awards for the second time. These awards reflect the contribution made by technology providers that support enterprise risk management, credit and operational risk for the listed, OTC derivatives and cash markets. More than 170 entries were received and shortlisted. Winners were selected by a panel of Risk.net editors and senior individuals from leading firms across the industry. read more
WBS Quantitative Finance Conference
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).
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 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