Blog

October 2015

The VA with the Kicking-K

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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

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September 2015

The New Edge in Investment Performance: Liquidity Management

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September 10, 2015

Erik Vynckier, CIO Insurance at AllianceBernstein was guest speaker at Quantifi’s breakfast briefing and shared his knowledge and experience under the theme ‘The New Edge in Investment Performance: Liquidity Management’ Read More

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August 2015

Conversation with Matthew Lynes, Senior Investment Manager, Aberdeen Asset Management

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August 12, 2015

"The regulatory landscape still proves to be one of the biggest challenges to the buy-side industry and will do so for the next 12-18 months. The RTS is expected to be published in the next couple of months which will add some certainly for the first time on the timelines going forward." Read More

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July 2015

Buy-Side System Requirements Part Two

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July 15, 2015

Lawmakers have targeted key financial practices for reform, radically altering the expectations and behavior of industry participants. The combination of the Dodd-Frank Act, European Markets Infrastructure Regulation (EMIR), MiFID ll and Basel lll signify the biggest regulatory change in decades. These reforms have resulted in major change to how financial products are traded, settled, collateralized and reported, resulting in deep and ongoing structural changes to the markets. Read More

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Buy-Side System Requirements Part One

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July 15, 2015

In the last few years, the financial markets have undergone dramatic change. While some of this is down to natural evolution, much of the change can be directly attributed to new rules introduced in the wake of the 2007 crisis. Regulators, legislators and central bank governors have been determined to avert another bubble bursting or an unexpected event that could threaten markets.  Read More

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February 2015

Mark Traudt, CTO, Quantifi, Explains how Quantifi Innovates Through Technology

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February 5, 2015

"Our services are designed to take advantage of the power and flexibility of modern virtualized data centers, on premises and cloud hosted. The service layer is interoperable, meaning that customers can consume risk, reporting, workflow, and other services from any client that support the SOAP protocol. By providing interoperable services, customers can leverage risk, reporting, and other functionality in the way that works best for them". Read More

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January 2015

Q&A with Amy Wierenga, Head of Risk Management at BlueMountain Capital Management

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January 28, 2015

"An important objective for risk frameworks supporting multi-strategy funds is that they work well for single strategy risk analysis while also enabling coherent fund-level risk aggregation. We have found that a scenario-centric approach provides an effective and flexible foundation for doing so". Read More

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December 2014

Avadhut Naik, Quantifi, Talks to TabbFORUM About Desiloing and Defragmentation

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December 16, 2014

TABB Group principal and senior analyst Paul Rowady invited Avadhut Naik, Product Manager, Quantifi to discuss desiloing and defragmentation; primarily aimed at large, complex dealing banks and financial intermediaries on the sell-side. Read More

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April 2014

Funding Valuation Adjustment (FVA), Part 3: JPMorgan and FVA; Next stop XVA

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April 11, 2014

In the previous two blogs we introduced FVA and described the ongoing industry debate on how to treat FVA, whether as a part of risk-neutral pricing or as an extra cost of a trade. Interest in this topic 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. Read More

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March 2014

Funding Valuation Adjustment (FVA), Part 2: The FVA Debate

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March 28, 2014

The simplest and most common circumstance when FVA arises is when a bank has an unsecured trade with a counterparty and hedges it with a secured trade - for example with a CCP. In this case if the value of the trade is positive, the value of the hedge is negative. To cover the margin call the bank has to borrow cash at its funding rate of Libor+s where ‘s’ is its funding spread.  Read More

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