Blog

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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Funding Valuation Adjustment (FVA), Part 1: A Primer

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March 20, 2014

The implementation of new regulations including Dodd-Frank, MiFID II, EMIR and Basel III is significantly increasing the cost of capital and forcing banks to re-evaluate the economics of their OTC trading businesses. Understanding trade profitability becomes critical with banks now pricing all the components of a trade including the model value using the appropriate discounting curve, the Credit Valuation Adjustment, the Cost of Regulatory Capital and most recently the Funding Valuation Adjustment. Read More

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Conversation with Hannan Mohammad, Deputy Head of the Funding and Markets Division, AFD

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March 12, 2014

The Agence Française de Développement (French Agency for Development - AFD) is a public development finance institution that has been working to fight poverty and foster economic growth in developing countries and the French Overseas Provinces for seventy years. It executes the policy defined by the French Government. AFD is present on four continents where it has an international network of seventy agencies and representation offices. Read More

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January 2014

Quantifi has been positioned as ‘Category Leader’ in the Chartis RiskTech Quadrant for Buy Side Risk Analytics

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January 14, 2014

Buy-Side firms are witnessing a rapidly changing operating environment and need to not only comply with regulations but also adapt to a new marketplace. Quantifi’s solution for buy-side analytics is an integrated Portfolio Management Systems. As well as integrating all regulatory and industry practices, Quantifi applies the latest technology innovations to provide new levels of usability, flexibility, and ease of integration. This translates into dramatically lower time to market, total cost of ownership and significant improvements in operational efficiency. Read More

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