OeKB Extends Usage of Quantifi for Enterprise Market Risk
Quantifi has announced that Oesterreichische Kontrollbank Aktiengesellschaft (OeKB) has extended its usage of Quantifi for enterprise market risk. Established in 1946, OeKB is Austria's main provider of financial and information services to the export industry and capital markets.
19 Jul, 2017

Quantifi, a provider of risk, analytics and trading solutions, today announced that Oesterreichische Kontrollbank Aktiengesellschaft (OeKB) has extended its usage of Quantifi for enterprise market risk. Established in 1946, OeKB is Austria’s main provider of financial and information services to the export industry and capital markets.

In 2015, OeKB selected Quantifi as its front-to-middle office solution for counterparty risk and IFRS 13. The bank has recently gone live on Quantifi for market risk. The key variable in the measurement and management of OeKB’s market risk is economic capital which is calculated using Value at Risk (VaR) over a one-month time horizon. OeKB was previously calculating HVaR on a quarterly basis using a legacy system. Replacing this legacy system with Quantifi’s single solution has helped the bank reduce cost and generate more accurate, timely results.

“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. On a daily basis, the risk team is generating trade valuations for EMIR reporting, as well as calculating collateral balances for margin calls. The team also calculate accounting XVA for regulatory reporting and use Quantifi’s VaR metrics for monthly reports to OeKB’s regulator”

Stefan Strehle, Director, Treasury, OeKB

“With Quantifi now live for market risk, OeKB has a consolidated view of credit and market risk within a single integrated solution,” comments Stefan Strehle, Director, Treasury, OeKB. “Quantifi is a strategic part of the I.T. infrastructure at OeKB. On a daily basis, the risk team is generating trade valuations for EMIR reporting, as well as calculating collateral balances for margin calls. The team also calculate accounting XVA for regulatory reporting and use Quantifi’s VaR metrics for monthly reports to OeKB’s regulator,” continues Stefan.

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. HVaR results are validated using multiple methods, with extensive back-testing using 15 years of historical data and 100 day rolling window.

“OeKB extending its usage to market risk is a measure of their confidence in Quantifi. It also demonstrates our commitment to partnering with clients to provide a flexible, extensible solution,” comments Roland Jordan, Head of EMEA Sales, Quantifi. “Increased volatility and market risk, along with a move towards standardised products and central clearing have transformed best practice for risk management across all OTC products. As the market continues to evolve, we are pleased clients recognise the benefits of using Quantifi and how we can support their business for the long term,” continues Roland.

About OeKB

Oesterreichische Kontrollbank Aktiengesellschaft (OeKB) is Austria’s main provider of financial and information services to the export industry and the capital market. True to its mandate to support the Austrian economy, OeKB has served trade and industry since the institution’s founding in 1946.

OeKB offers a wide range of specialised services to companies in all sectors, including financial institutions and Austrian government agencies. OeKB acts as a central hub in the markets, operating impartially and in accordance with its sustainability policy. Its shareholders are commercial banks located in Austria.

For further information, please visit www.oekb.at

Related Insights

News

Quantifi Voted Best Market Risk Solution Provider at Waters Rankings Awards

Hosted by WatersTechnology, Waters Rankings recognise leading technology providers as determined exclusively by industry specialists from the global capital markets community. Qualified voters participating in the Waters Rankings are from buy- and sell-side firms as well as exchanges and interdealer brokers.

Case Studies

OeKB selects Quantifi to Replace Existing Front-to-Middle Solution

Oesterreichische Kontrollbank AG (OeKB) is a specialised institution owned by commercial banks located in Austria. OeKB’s mandate is to support the Austrian economy, offering a uniquely broad variety of services to Austria´s industry and capital market participants. These include services for exports and foreign investments and capital and energy markets services. As of June 2016, OeKB had total assets of €29 billion and employed over 400 people.

Whitepapers

FRTB: Strengthening Market Risk Practices?

One of the largest overhauls by the Basel Committee on market risk regulatory capital in recent times is close to completion. FRTB is intended to address the undercapitalisation of trading book exposures witnessed during the financial crisis.

Let's Talk!

Schedule a personalised demo today

Loading...