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 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
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
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
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
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 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.
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 bank's counterparty risk was one of the key priorities.