XVA

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

Vectorization, Part 1: The Rise of Parallelism

Thursday, June 15, 2017

New challenges in the financial markets driven by changes in market structure and regulations and accounting rules like Basel III, EMIR, Dodd Frank, MiFID II, Solvency II, IFRS 13, IRFS 9, and FRTB have increased demand for higher performance risk and analytics. Problems like XVA require orders of magnitude more calculations for accurate results. This demand for higher performance has put a focus on how to get the most out of the latest generation of hardware. Read More

Piraeus Bank Addresses XVA Requirements with Quantifi’s Single Solution

Friday, May 26, 2017

Piraeus has played a pivotal role in supporting the recovery of the Greek economy and restoring trust in Greek banks. To keep pace with market conditions and ensure compliance with stringent regulation, Piraeus recognised the need to adapt their risk analytics infrastructure to enhance interoperability with other core systems and align front, middle and back office functions. Senior management also wanted to improve risk control, reduce operational inefficiencies and optimise total cost of risk by streamlining processes, IT and operating models.

Helaba Enhances Enterprise-Wide Derivatives Counterparty Risk Management

Friday, March 31, 2017

Given current market practices around counterparty risk regulation, xVA management, funding and accounting, Helaba, one of the leading German banks, decided it needed to enhance its counterparty risk infrastructure for their OTC derivatives business. To support this initiative the bank wanted to pair their existing risk and core trading infrastructure with a modern, enterprise-wide XVA solution. The ability for senior management to get a comprehensive view of the banks’ counterparty risk was one of the key priorities.

OeKB selects Quantifi to Replace Existing Front-to-Middle Solution

Friday, March 31, 2017

Regulatory changes has led to number of implications for banks and financial intermediaries. There are strategic implications that can, however, bring business opportunities and competitive advantages to firms that are well prepared. Despite various exemptions due to its public mandate, OeKB has also been impacted with these regluatory changes. Having reviewed their existing risk infrastructure, OeKB decided that to support future business demands, they would need to replace their front-to-middle office platform with a next generation solution.

Quantifi Supports Counterparty Risk Management at Global Bank

Thursday, March 30, 2017

The client is one of the largest financial institutions in Asia Pacific. It operates across multiple countries, serving over 10 million banking, consumer and wealth management customers. The wanted to establish a CVA desk along with the necessary infrastructure to support their Credit, Rates and FX business globally. To do this they required an accurate and sophisticated solution that would allow them to price CVA on trades immediately.

Piraeus Bank Seamlessly Modernises Core Systems with Quantifi’s Next-Generation Risk, Analytics and Reporting

Wednesday, January 11, 2017

With Quantifi’s next-generation valuation, analytics and reporting functionality Piraeus now has a flexible and performant capability to address and support computationally intense calculations including xVA, perform accurate valuations on cross-asset portfolios taking into account various risk metrics comprising PFE, VaR, wrong-way-risk, stress testing, sensitivities etc., and generate flexible reports to aid business decisions across their trading user base. read more