hedging

The VA with the Kicking-K

Friday, October 2, 2015

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

xVA Evolution: CVA Reporting to Active Management

Wednesday, September 23, 2015
Financial institutions are challenged by the emerging valuation adjustments (XVAs) and corresponding changes in the regulatory requirements. Banks are adapting their trading, pricing, risk and capital management practices and processes to ensure... read more

Deloitte and Quantifi Whitepaper Examines IFRS13 – CVA, DVA and the Implications for Hedge Accounting

Monday, March 16, 2015

“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

Should Banks Charge for FVA?

Wednesday, March 19, 2014

By Dmitry Pugachevsky (Quantifi)

Interest on the topic of Funding Valuation Adjustment (FVA) was recently renewed, particularly in light of the JPMorgan’s (JPM) Q4 2013 earnings report on January 14th 2014, which for the first time included FVA. JPM, during the investor presentation, explained the adoption of FVA:

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Quantifi Wins ‘Best Risk Management’ Award, FOW Asia

Wednesday, October 23, 2013

The FOW Asia Awards are reviewed by a panel of judges, who recognise solution providers that have launched or made enhancements to existing products that solved a problem creatively, opened up new possibilities or changed the way participants approach the market. “Regulators are focussed on mitigating counterparty risk as a method of reducing systemic risk. Our judges agreed that Quantifi has developed a comprehensive platform that supports risk management underpinning several areas including central clearing commitments, Basel III calculations and hedging.” William Mitting, editor and publisher, FOW. “ read more

Managing the Complexities of CVA, DVA and FVA

Tuesday, January 22, 2013

Co-hosted by: Quantifi & PRMIA. Date: 22nd May 2012. Location: British Bankers Association, Pinners Hall, 105-108 Old Broad Street, London, EC2N 1EX. Areas Covered: Measuring trade profitability with CVA, DVA and FVA; Challenges of Trading and Hedging CVA and DVA; Recent Developments in Modeling and Performance Optimization; Basel III and counterparty risk.... read more

WBS 2nd CVA Conference

Saturday, January 5, 2013

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

Could the European Debt Crisis Cause a U.S. Bank to Fail?

Wednesday, September 28, 2011

Depending on how you look at it, U.S. banks could lose as much as $1 trillion if the current money troubles in Europe were to lead to a full blown financial crisis. Or they could close to nothing. It depends on who you believe. Understanding why there is a difference of opinion is at the heart of knowing whether U.S. banks are really in trouble.... read more

Quantifi Releases Version 9.3 in Response to OTC Market Changes

Monday, January 11, 2010

 “2009 was a challenging year for market participants and as we embark upon a new year, the pending ‘regulatory tsunami’ which will impact the OTC markets is just beginning to be felt. We are finding that our clients need to overcome a number of crucial challenges: improving risk analysis while increasing performance and improving operations. In light of this, we have released V9.3 to ensure our clients have a competitive advantage by being well-prepared and strategically positioned for future change.” Rohan Douglas, CEO of Quantifi.  V9.3 provides more robust risk reporting, streamlined operations, expanded product support, and improved performance and scalability.

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