“We have seen organisations struggle to incorporate CVA and DVA adjustments when performing hedge effectiveness testing. In some cases, CVA and DVA volatility has caused hedge ineffectiveness. It is critical for organisations to explore IFRS 13 compliant approaches that maximise hedge effectiveness.” Phillip van den Berg, Senior Manager, Deloitte read more
Quantifi, EY & PRMIA seminar
Reflecting the growing demand for exchange-traded futures contracts as alternatives to OTC derivatives, ICE recently launched the industry’s first credit index futures contract. To support the development of these new and innovative products, Quantifi developed a price-spread calculator to allow market participants to better monitor and manage credit risk exposures. Available on the ICE website, this intuitive, web-based price-spread calculator is designed to convert futures prices into the equivalent forward spreads for any given date.
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Quantifi, a leading provider of analytics, trading and risk management solutions for the global OTC markets, today announced the launch of an industry price-spread calculator for credit index futures listed on ICE Futures U.S., which is a subsidiary of IntercontinentalExchange (NYSE:ICE), a leading operator of global markets and clearing houses.
IntercontinentalExchange has released a price-spread calculator for credit index futures listed on IntercontinentalExchange's ICE Futures US market, developed by over-the-counter derivatives analytics and risk management software vendor Quantifi, to help market participants better monitor and manage credit risk exposures.
Quantifi & PRMIA webinar
Dates: 20th, 21st & 22nd March 2013
Venue: Millennium Gloucester Hotel and Conference Centre, London
Areas Covered: The FVA Debate, Capital Charges, Computation, CCR & Regulations... read more