XVA

WBS 16th Quantitative Finance Conference

Monday, November 16, 2020
Every year, the Quantitative Finance Conference organized by WBS brings together professionals, researchers, academics, and leading experts in quantitative finance from all over the world to share and discuss their knowledge and experiences, new... 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 making an investment in XVA capabilities in an attempt to solve the computational challenge of simulating a full universe of risk factors.

Quantifi Voted Best Data Analytics Provider in Waters Rankings 2020

Monday, August 3, 2020

Quantifi has won Best Data Analytics Provider in the 2020 Waters Rankings. These awards recognize overall quality of service in 30 categories and are voted for exclusively by WatersTechnology’s readership of over 10,000 industry practitioners. Quantifi has established a reputation as the market leader in analytics with a proven record of delivering timely, accurate and consistent front-to-back analytics to some of the world’s most sophisticated institutions, including top tier banks and leading investment managers.  read more

Quantifi Wins Best Sell-Side Credit Risk Product at WatersTechnology Awards 2020

Wednesday, July 15, 2020

Quantifi has been named Best Sell-Side Credit Risk Product at the WatersTechnology 2020 Sell-Side Technology Awards. These awards recognise market-leading technologies developed specifically for sell-side firms. Whilst credit risk has always been of primary concern for banks, its importance became paramount during the credit crisis. More recently, the COVID-19 pandemic has again highlighted the importance of accurate valuation and robust management of credit risk.  read more

HSBC North America Quant Symposium

Wednesday, September 11, 2019
Quantifi Director of Research, Dmitry Pugachevsky, will be discussing IR model considerations for XVA calculations at the HSBC North America Quant Symposium. The event provides industry participants an opportunity to hear from industry experts share ... read more

Quantifi’s Latest Release Strengthens Front-to-Middle Performance, Transparency and Scalability

Wednesday, August 2, 2017

Quantifi today announced the release of Quantifi Version 15 (V15). This release leverages the latest technology and introduces a broad range of enhancements and support for the latest regulatory requirements including expanded product coverage, advanced data management and next generation analytics. With over 100 new features, this release is designed to further enhance front-to-middle performance, transparency and scalability. read more

Vectorization, Part 3: Applying Vectorization to CVA Aggregation

Monday, July 10, 2017

As noted, the Finance domain provides many good candidates for vectorization. A particularly good example is the aggregation of Credit Value Adjustment (CVA) and other measures of counterparty risk. The most common general purpose approach to calculation of CVA is based on a Monte-Carlo simulation of the distribution of forward values for all derivative trades with a counterparty. The evolution of market prices over a series of forward dates is simulated, then the value of each derivative trade is calculated at that forward date using the simulated market prices. Read More

Vectorization, Part 2: Why and What?

Thursday, June 22, 2017

This is the second in a series of blogs on Vectorization, which is a key tool for dramatically improving the performance of code running on modern CPUs. Vectorization is the process of converting an algorithm from operating on a single value at a time to operating on a set of values at one time. Modern CPUs provide direct support for vector operations where a single instruction is applied to multiple data (SIMD). Read More

Risk Training: XVA, Credit, Funding and Capital Valuation Adjustments

Thursday, June 15, 2017
XVAs provide the financial industry with a lot of opportunities, particularly as new valuation adjustments develop and as valuation adjustments like CVA and FVA continue to add value. But with these opportunities come complexities because of the... read more