Counterparty credit risk (CCR) is currently one of the most complex topics for financial institutions. This complexity comes from many different sources but is primarily related to the multiple definitions and uses of counterparty credit risk. Therefore, the first question to ask yourself before modeling counterparty credit risk is why do you want to measure it? Read More

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, 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. 

Recognised for being at the forefront of product and technology innovation, Quantifi has continued to make significant investment in R&D so that it can strategically address increased demand and better serve existing clients. Quantifi has also addressed key client issues with support for XVA, Central Counterparty Clearing (CCP), margin replication, OIS Discounting, regulatory reporting, PFE limit management, and funding costs analysis such as Funding Valuation Adjustment (FVA). read more

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

“The results of this survey reflect what we are seeing in the marketplace as clients grapple with the challenges of accurately calculating all of the elements affecting trade profitability. Inadequate infrastructure has impacted the ability of firms to achieve this level of enhanced transparency in a seamless manner alongside other key elements of Basel III, EMIR and Dodd-Frank. The challenge remains as it is not just an issue for trade profitability but ultimately business profitability as well.” said Roland Jordan, Head of EMEA Sales, Quantifi.  read more