by Chartis Research
Risk management systems for sell-side institutions cover a range of capabilities across different categories of risk such as liquidity risk, market risk, credit risk and operational risk. They are required to support a broad range of asset classes, as well as a variety of risk analytics including both pre-deal and post-trade analytics. Sell-side risk management involves front, middle and back office operations. In this report Chartis covers the leading technology providers capable of addressing essential aspects of the emerging demand for sell-side risk management and focuses on the key capabilities and strengths of Quantifi as a provider of sell-side risk management solutions.
by Dmitry Pugachevsky, Rohan Douglas (Quantifi) and
Searle Silverman, Philip Van den Berg (Deloitte)
With the introduction of the new accounting standard, IFRS 13, the requirement to calculate complex variables, such as CVA and DVA has renewed emphasis. IFRS 13 has significant implications for all entities, including corporates and those in the financial services sector that hold derivatives, which are measured at fair value. CVA and DVA also result in additional challenges when performing hedge effectiveness testing under IAS 39. This whitepapers examines these challenges and also the different approached for testing hedge effectiveness.
by Dmitry Pugachevsky, Rohan Douglas (Quantifi) and Roman Bedau (Deloitte)
According to IFRS 13, model-based fair value measurements have to take into account all risk factors that market participants would consider, including credit risk. In order to reflect the credit risk of the counterparty in an OTC-derivative transaction, an adjustment of its valuation has to be made. Therefore, depending on the type of derivative, not only does the market value of the counterparty’s credit risk (CVA) need to be taken into account, but also the company’s own credit risk (debit valuation adjustment - DVA) has to be considered in order to calculate the correct fair value. This whitepaper explores the different Fair Value Adjustments and valuation techniques under IFRS 13.
by Dmitry Pugachevsky, Quantifi
Interest on the topic of Funding Valuation Adjustment (FVA) was renewed, particularly in light of the JPMorgan’s Q4 2013 earnings report on January 14th 2014, which for the first time included FVA. This whitepaper focusses on the investor presentation delivered by JPMs Chief Financial Officer, Marianne Lake on JPMorgan adopting FVA.
Accounting rules mandate the inclusion of CVA in MTM reporting, which means bank earnings are subject to CVA volatility. DVA is also accepted under the accounting rules and banks that include it, and by doing so must continue to include it going forward, add their own credit spread as a source of earnings volatility. The whitepaper provides an overview of DVA and highlights some of the results reported by larger banks, along with potential implications going forward.
Recent years have seen valuation adjustments take centre stage in the pricing and valuation of OTC derivatives. Costs and benefits arising from credit (CVA), debt (DVA), funding (FVA) and collateral (ColVA) have become critically important in defining the dynamics of OTC markets. Read More
A key focus for Helaba is to enhance its counterparty risk management infrastructure for their OTC derivatives business. This is in response to current market practice associated with counterparty risk regulation, xVA management and funding, and changes in accounting rules. To support these requirements the bank recognised the need to complement their existing risk and core trading infrastructure with a more complete, modern and robust architecture. After a rigorous and transparent selection process, involving ten other solution providers, Quantifi was chosen as the preferred partner. read more
“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 & Deloitte webinar