A Fast, Scalable
An advanced, scalable platform designed to help front-office and middle-office functions satisfy the demands of FRTB.
Easy to Implement & Support
Supporting the new market risk requirements
The Fundamental Review of the Trading Book (FRTB) heralds a new era in bank risk management, making it one of the most critical items on a bank’s to-do list for the immediate future and beyond. Designed to help banks meet the new capital requirements for market risk, Quantifi can support all the main requirements of FRTB either as a fully integrated front-to-accounting solution or a component based solution that can co-exist with other 3rd party and internal systems.
Support for Basel ll and Basel lll capital calculations
Strong data management for Non-Modellable Risk Factors (NMRF)
Seamless integration with existing 3rd party and internal systems
This is How We Do it
Market Leading Models
Advanced, unified front-to-back risk and analytics models for market risk FRTB & CVA FRTB. Full support for both standardised approach and internal model approach frameworks for FRTB.
Advanced Data Management
Strong data management for NMRF (Non-Modellable Risk Factors) requirements, including an ETL framework for managing data feeds. Flexible limit management framework, including a workflow engine to set-up customised process flows and control mechanisms.
Measure Market & Credit Risk
Measures include market risk and CVA FRTB, RWA’s, current CVA VaR as well as methodologies for EAD calculations.
High Performance & Flexible Architecture
A modern technology stack, leveraging multi-core optimisation that delivers scalable and high performance risk and analytics. Available as an integrated front-to-accounting or as a component solution that integrates with existing 3rd party and internal systems.
Capital Attribution Tests
Carry out capital and P&L attribution test to desks, trades and other dimensions.
Real Run-time Reports
A pre-configured reporting component with required sensitivities and stress tests at the firm, desk and position level. Scenario & what-if analysis to optimise capital charges across standardised and internal model approaches.
Celent Names Quantifi ‘Category Leader’
for FRTB Solutions
“There are significant opportunities to use FRTB as a catalyst for changing market risk management practices and operations. Where appropriate, adoption of next generation technology infrastructures and emerging innovations enable Front Office, Risk and Finance functions to achieve capital-efficient options and drive operational gains in the market risk data production chain.”
Cubillas Ding, Research Director, Celent
With Quantifi now live for market risk, OeKB has a consolidated view of credit and market risk within a single integrated solution. Quantifi is a strategic part of the I.T. infrastructure at OeKB.
Navigate major trends & developments shaping the industry
Quantifi and Kauri Solutions, a specialist financial consultancy firm, recently co-hosted a webinar on ‘FRTB: Strengthening market risk Practices?’. The 100+ delegates were invited to take part in a survey on how prepared their firms are for dealing with the impact of FRTB and their approach to addressing implementation challenges.