Market Risk

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

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 
 





“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

 

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