Credit-linked notes can't be said to have risk-free collateral any more. In this article Dmitry Pugachevsky, Director of Research, Quantifi, suggests pricing them using techniques developed for bank counterparty risk.
One of the challenges in investing in credit linked notes (CLN) is the shortage of high quality debt for funding. This article explores a new type of trade - CLNs with risky collateral. It highlights that by taking into account all possible risk, including uncertainty of market value at early redemption, one can calculate values and sensitivities of such products, and trade them consistently as traditional CLNs.
Blockchain is one of the most disruptive technologies available at present, designed to simplify the value chains around trading, payment and market infrastructure. If fully adopted, blockchain will create a more efficient, more transparent and more secure marketplace while reducing transaction processing costs. While the potential is huge, so too is the uncertainty. The key to turning blockchain’s potential into reality is a collective effort among industry participants to learn, share, cooperate and see themselves as part of the blockchain network as opposed to as individual firms. Read More
Quantifi has awarded ‘Best New Technology Product – Collateral Management’ at the FOW Asia Awards. FOW Awards are judged by a panel of industry experts drawn from across the market in a range of disciplines. The winners in the technology categories are companies that have launched new products or made enhancements to existing products that solved a problem creatively, opened up new possibilities, or changed the way participants approach the market. read more
Erik Vynckier, CIO Insurance at AllianceBernstein was guest speaker at Quantifi’s breakfast briefing and shared his knowledge and experience under the theme ‘The New Edge in Investment Performance: Liquidity Management’ Read More
"The regulatory landscape still proves to be one of the biggest challenges to the buy-side industry and will do so for the next 12-18 months. The RTS is expected to be published in the next couple of months which will add some certainly for the first time on the timelines going forward." Read More