Market Risk

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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

Cross-asset Support

Monitor cross-asset class risk: fixed income, credit, rates, FX, equities, loans & commodities
 
   calculate VaR

Calculate VaR

Calculate VaR across an entire portfolio using historical or Monte-Carlo methodologies
 
Analyse Sensitivities & Hedges

Analyse Sensitivities & Hedges

Comprehensive sensitivity analysis with consistent calculations across all asset classes 
 
  

Satisfy compliance and limits

 

Satisfy Compliance & Limits

A flexible, integrated limit management framework with built-in workflow
 
Conduct 'What-if' Analysis

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

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

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

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

 

Read More 


 


Related Resources

Challenges of Market & Counterparty Risk

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?

FRTB - Strengthening Market Risk Practices?

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

Whitepaper>
OeKB Extends Usage for Enterprise Market Risk

OeKB Extends Usage for Enterprise Market Risk

OeKB now has a consolidated view of credit and market risk within a single integrated solution

Case Study >