derivatives

Quantifi & Intel Demonstrate How Artificial Intelligence Can Be Used to Accelerate Derivatives Valuations

2 August 2021

Quantifi and Intel have published a joint whitepaper that explores how artificial intelligence (AI) can be used to accelerate derivatives valuations by 700x. Intel and Quantifi have demonstrated that accurate, real-time pricing for a portfolio of derivatives can be generated locally or in the cloud using AI technology running on 3rd Generation Intel® Xeon® Scalable processors.  read more

Quantifi & Intel Demonstrate How Artificial Intelligence Can Be Used to Accelerate Derivatives Valuations

28 July 2021

Quantifi and Intel have published a joint whitepaper that explores how artificial intelligence (AI) can be used to accelerate derivatives valuations by 700x. Intel and Quantifi have demonstrated that accurate, real-time pricing for a portfolio of derivatives can be generated locally or in the cloud using AI technology running on 3rd Generation Intel® Xeon® Scalable processors.  Read More

Accelerating Derivative Valuations Using AI

Tuesday, July 27, 2021

Quantifi & Intel

Intel & Quantifi Accelerate Derivative Valuations by 700x Using AI on Intel Processors

Friday, June 18, 2021

by Quantifi & Intel

Portfolio managers and traders that use OTC derivatives often lack an accurate real-time view of the valuations and risk of their derivative positions, especially when trading exotic derivatives. Obtaining real-time risk metrics for a portfolio of derivatives has been challenging, as the commonly used valuation techniques for these products are computationally expensive and require significant machine time. Portfolio valuations and risk calculations typically require overnight runs in a data center or the cloud. This whitepaper reports the successful use of Artificial Neural Network models by Quantifi to model and deliver real-time pricing with an accuracy considered equivalent to conventional approaches such as numerical integration and Monte Carlo methods.

How Can Artificial Intelligence Be Used To Accelerate Derivatives Valuations?

Sunday, May 16, 2021

Quantifi recently took part in Intel's Coffee Chat series to discuss their partnership and collaboration with Intel. This Q&A was taken from the video series where Intel Vice President, Pete Baker, discusses risk analysis, analytics and artificial intelligence on Intel architecture in the financial services sector with Sebastian Hahn, AI Lead, Quantifi. Read More

How to Accelerate XVA Performance

Monday, October 26, 2020

by Quantifi & Intel

One of the key challenges of XVAs is that adjustments need to be calculated on a portfolio basis rather than trade-by-trade. This requires dealing with a large number of computations and orders of magnitude more calculations for accurate results. The calculation of XVAs is highly complex, combining the intricacies of derivative pricing with the computational challenges of simulating a full universe of risk factors. Given the strategic importance of XVA, banks require enhanced capabilities and modern infrastructures to calculate the required credit, funding, and capital adjustments. As banks look to reduce, mitigate, and optimize XVA and other capital charges, they are investing in XVA capabilities in an attempt to solve the computational challenge of simulating a full universe of risk factors.

How to Manage Liquidity Risk in a Volatile Market

Friday, July 24, 2020

Historically, liquidity risk has been the poor cousin of market risk and credit risk. While the global financial crisis of 2008/2009 first pushed the issue of liquidity risk to the forefront of attention, the most recent market dislocation due to the COVID-19 pandemic has once again highlighted the salient significance of the topic. This is particularly so for institutional investment managers who have to meet margin calls, perform regular fund rebalancing, execute redemptions, among other potentially liquidity-threatening activities. Read More

Quantifi Wins Best Sell-Side Credit Risk Product at WatersTechnology Awards 2020

Wednesday, July 15, 2020

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

Managing Liquidity Risk in Times of Stress

Monday, July 13, 2020

by Quantifi

Historically, liquidity risk has been the poor cousin of market risk and credit risk. While the global financial crisis of 2008/2009 first pushed the issue of liquidity risk to the forefront of attention, the most recent market dislocation due to the COVID-19 pandemic has once again highlighted the salient significance of the topic. This is particularly so for institutional investment managers who have to meet margin calls, perform regular fund rebalancing, execute redemptions, among other potentially liquidity-threatening activities. Failure to afford liquidity risk management the focus and priority jeopardizes the health of an institution, perhaps fatally so.

Microservices – The New Building Blocks of Financial Technology

Thursday, February 27, 2020

The derivatives landscape has evolved greatly over the past few years, driven by the scale and pace of regulatory change, economic unease and competitive pressures. These drivers have heightened the attention on risk technology and operations, forcing firms to re-think their business operating models. The rapid pace of innovation in technology presents a whole new range of possibilities for how technology can be leveraged in financial markets.