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

by Quantifi, Noble & OKCoin

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

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

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

by Quantifi & Cognizant

by Chartis Research

Risk management systems for sell-side institutions cover a range of capabilities across different categories of risk such as liquidity risk, market risk, credit risk and operational risk. They are required to support a broad range of asset classes, as well as a variety of risk analytics including both pre-deal and post-trade analytics. Sell-side risk management involves front, middle and back office operations. In this report Chartis covers the leading technology providers capable of addressing essential aspects of the emerging demand for sell-side risk management and focuses on the key capabilities and strengths of Quantifi as a provider of sell-side risk management solutions.

by Dmitry Pugachevsky, Rohan Douglas (Quantifi) and 
Searle Silverman, Philip Van den Berg (Deloitte)

With the introduction of the new accounting standard, IFRS 13, the requirement to calculate complex variables, such as CVA and DVA has renewed emphasis. IFRS 13 has significant implications for all entities, including corporates and those in the financial services sector that hold derivatives, which are measured at fair value. CVA and DVA also result in additional challenges when performing hedge effectiveness testing under IAS 39.  This whitepaper examines these challenges and also the different approached for testing hedge effectiveness.