Prior to the credit crisis, interest rate modelling was generally well understood. The underlying fundamental principles had existed for over thirty years with steady evolutions in areas that were most relevant to options and complex products. Credit and liquidity were ignored as their effects were minimal. Pricing a single currency interest rate swap was straightforward. A single interest rate curve was calibrated to liquid market products and future cash flows were estimated and discounted using this single curve. There was little variation between implementations and results across the market were consistent.
Prior to the credit crisis there were small but generally negligible differences between forward rates implied from interest rate products of different tenors. No-arbitrage arguments held and a six-month rate implied from a three-month rate and a three times six-month forward would match. As the credit crisis continued, the market segmented and this previously arbitrage-free relationship broke down. Following the crisis, interest rate modelling has undergone nothing short of a revolution. During the credit crisis, credit and liquidity issues drove apart previously closely related rates. Read More
Date: 13th, 14th & 15th March 2013.
Venue: Radisson Blu Portman Hotel, London.
Areas Covered: Discounting, Funding, FVA, CSA, Collateral, Options, Smiles, Swaps & Volatility... read more
KLP Asset Management, a subsidiary of Norway’s largest insurance company, manages NOK 227 billion assets of KLP Group and the KLP Funds external clients. KLP was seeking to replace their existing vendor solution for interest rate derivatives. They selected Quantifi as they were impressed with its ability to accurately price and risk manage interest rate derivatives in a dual curve environment using the latest market best practice and advanced numerical methods for groundbreaking performance. KLP’s decision to choose Quantifi was based on its ability to seamlessly integrate into the KLP environment, ease of use and broad functionality. read more
The Credit Magazine Technology Innovation Awards recognise the achievements of technology firms for their pioneering work in the credit market, particularly in response to the challenges in analytics, risk management, pricing and valuation. Quantifi was the first vendor to develop and introduce to the market a CVA tool that successfully captures all relevant drivers of the exposure, including correlations and volatilities for interest rate swaps, cross currency swaps, CDS and CDOs for both individual trades and/or portfolios. The groundbreaking Quantifi CVA solution was launched in mid-2010. This is the third consecutive year that Quantifi has been acknowledged by Credit Magazine for its innovative tools, having been recognised last year for the Collateralized Loan Obligation (CLO) Pricing Model read more
"With the passage of the Dodd-Frank bill in the US and the potential impact of Basel III, the OTC markets are adapting to increased volatility and regulatory scrutiny. Consequently, the need for accurate, robust, intuitive tools for valuation and risk management has never been higher. V9.4 is a major release and enables our clients to effectively and proactively address rapidly changing market, operational and regulatory requirements." Rohan Douglas, CEO of Quantifi. read more
Quantifi is the first vendor to develop and introduce to the market a CVA tool that successfully captures all relevant drivers of the exposure, including correlations (e.g., for wrong-way risk) and volatilities for Interest Rate Swaps, Cross Currency Swaps, CDS and CDO’s for both individual trades and/or portfolios. Advanced semi-analytic models make Quantifi CVA the fastest, most sophisticated and comprehensive CVA pricing tool on the market. It is designed to allow traders and risk managers to price new trades in seconds to help them identify the risk dynamics on the desk at the point of trade and to effectively hedge counterparty risk. read more