CAPITAL MARKETS

A Fast, Scalable
FRTB Solution

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

KEY FEATURES

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.

INDUSTRY RECOGNISED

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.

Stefan Strehle, Director, Treasury, OeKB

FEATURED VIDEO

The Impact of FRTB on
Capital & Liquidity

The Basel Committee published the final rule of the FRTB framework designed to address the undercapitalisation of trading book exposures witnessed during the financial crisis. This webinar explores both frameworks in their historical context and takes an in-depth look at the challenges and implications of FRTB.

insights

Navigate major trends & developments shaping the industry

Whitepapers

FRTB: Moving Towards a Practical Implementation

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.

Whitepapers

FRTB: Strengthening Market Risk Practices?

This paper explores both FRTB frameworks in their historical context and how they affect bank balance sheets.

News

Survey Reveals Banks Are Not Ready to Deal with the Impact of FRTB

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.

Let's Talk!

Speak with one of our solution experts
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