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 whitepapers examines these challenges and also the different approached for testing hedge effectiveness.

by Dmitry Pugachevsky, Rohan Douglas (Quantifi) and Roman Bedau (Deloitte)

According to IFRS 13, model-based fair value measurements have to take into account all risk factors that market participants would consider, including credit risk. In order to reflect the credit risk of the counterparty in an OTC-derivative transaction, an adjustment of its valuation has to be made. Therefore, depending on the type of derivative, not only does the market value of the counterparty’s credit risk (CVA) need to be taken into account, but also the company’s own credit risk (debit valuation adjustment - DVA) has to be considered in order to calculate the correct fair value. This whitepaper explores the different Fair Value Adjustments and valuation techniques under IFRS 13.

by Avadhut Naik, Quantifi and Michael Bryant, InteDelta

The measurement and management of counterparty risk is a rapidly evolving area. A range of new regulatory requirements is changing the way in which institutions view risk. This affects not only risk quantification but the whole commercial model of an institution. New regulations or risk measures can affect the commercial attractiveness of an institution’s existing product range or client profile. Against a backdrop of discipline in constant evolution, this whitepaper explores some of the key areas associated with the management and measurement of counterparty risk.