Blog

August 2016

Why Measure Counterparty Credit Risk?

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August 4, 2016

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

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July 2016

Regulatory Initiatives Impacting Funding, Collateral, and Capital Costs

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July 7, 2016

Following the 2008 financial crisis, the banking sector witnessed a plethora of regulatory changes. While these regulatory prescriptions cover every dimension of the banking world, the OTC derivatives (OTCDs) market has borne the brunt due to the derivatives' opaque and complex nature. Read More

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May 2016

Microservices - The New Building Blocks of Financial Technology

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May 6, 2016

In these days of ever-increasing regulation, managing risk is a difficult task at the best of times. Over the years, I have seen the pain firms experience when attempting to integrate disparate systems and streamline front-to-back processes.  There is evidence that, managed properly, a holistic approach to risk management pays off. In contrast, maintaining multiple systems is complex and consequently can be costly and often inadequate. Read More

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April 2016

A First View on the New CVA Risk Capital Charge

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April 28, 2016

In July 2015, the Basel Committee of Banking Supervision (BCBS) published a consultative paper on Credit Valuation Adjustment (CVA) risk to improve the current regulatory framework. In February 2016, the first improvements to this framework have been introduced based on the QIS based on December 2015 results. Read More

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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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