Enterprise Market Risk

Enhance risk governance and management with advanced tools designed to accurately measure market risk

The complexity of market risk has increased significantly in recent years, driven by increased regulation, focus on internal risk standards, and changing market conditions. Having access to high quality data and risk models is important. Quantifi supports a full complement of market risk measures along with complex scenarios and stress tests. Key features include sensitivities to all market factors, comprehensive “what-if” analysis, regulatory stress tests, such as HVaR, and tail measures like expected shortfall.

A single view of market, liquidity and counterparty risk

A single view of market, liquidity
and counterparty risk

Sophisticated cross-asset modelling and consistent pricing

Sophisticated cross-asset
modelling and consistent pricing

Support for stress testing i.e. CCAR, HVAR and expected shortfall

Why Quantifi?

A powerful, high performance platform that supports a full complement of
measures for accurately managing market risk

	Cross-asset Support Monitor cross-asset class risk: fixed income, credit, rates, FX, equities, loans & commodities			Calculate VaR Calculate VaR across an entire portfolio using historical or Monte-Carlo methodologies
	Analyse Sensitivities & Hedges Comprehensive sensitivity analysis with consistent calculations across all asset classes			Satisfy Compliance & Limits A flexible, integrated limit management framework with built-in workflow
	Conduct 'What-if' Analysis A powerful and flexible risk engine provides advanced 'What-If' analysis to all market observables for accurate management of risk			Comply with FRTB Requirements Support for all the main requirements of FRTB for both the Standardised Approach (SA) and Internal Model Approach (IMA)
	Perform Stress Testing Integrated functionality to stress product attributes or market risk factors. Portfolio can be stress tested at future time points			Support for Basel III Full support for Basel Market Risk calculations and reporting requirements. Consistent with the new regulatory standards

Modern Technology

Leveraging next-generation technology based on microservices, big data and the cloud to give our clients the advantages of speed, scalability, flexibility and usability

Quantifi Technology Architecture Diagram

Find Out More

oekb logo

“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

Related Resources

Challenges of Market & Counterparty Risk

Mark Gheerbrant, ISDA, on the challenges of the revised market and counterparty risk frameworks

Video >

FRTB - Strengthening Market Risk Practices?

Explore the FRTB and FRTB-CVA frameworks as well as challenges & implications of FRTB

Whitepaper>

Navigating the IBOR Transition

Discussing the challenges and risks of navigating the IBOR transition and the adoption of alternative reference rates

Webinar >

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Market Risk