OTC derivatives

Intel & Quantifi Accelerate Derivative Valuations by 700x Using AI on Intel Processors

18 June 2021

by Quantifi & Intel

Portfolio managers and traders that use OTC derivatives often lack an accurate real-time view of the valuations and risk of their derivative positions, especially when trading exotic derivatives. Obtaining real-time risk metrics for a portfolio of derivatives has been challenging, as the commonly used valuation techniques for these products are computationally expensive and require significant machine time. Portfolio valuations and risk calculations typically require overnight runs in a data center or the cloud. This whitepaper reports the successful use of Artificial Neural Network models by Quantifi to model and deliver real-time pricing with an accuracy considered equivalent to conventional approaches such as numerical integration and Monte Carlo methods.

How to Accelerate XVA Performance

Friday, March 19, 2021
You're in! We've saved a space for you at the 'How to Accelerate XVA Performance' webinar on Wednesday 21st April. We will send you a link to join the webinar prior to the event.
 
Date & Time:
21st April, 2021
3pm BST / 4pm CET / 10am EST
 
Agenda:
  • The need for faster XVA calculations
  • Factors influencing the speed of XVA computations
  • How to accelerate the performance of large XVA workloads
  • Test results: how Quantifi has accelerated performance with Intel
  • Q&A
... read more

Accelerating the Performance of Large-scale XVA Workloads

Wednesday, February 24, 2021

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 Wins Best Pricing & Analytics: Fixed Income, Currencies and Credit at the Risk Markets Technology Awards

Tuesday, February 23, 2021

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

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 investing 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