Carbon Cap Management (Carbon Cap) is a London based environmental asset management firm. To support the growth of its fund, Carbon Cap has replaced their existing core risk software with a more sophisticated solution.
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How to Accelerate XVA Performance
In the post-crisis world, an increasing number of banks have set up a centralized XVA desk. With the introduction of new regulations to ensure banks are adequately capitalized, it has become common practice to include certain costs in the pricing of OTC derivatives that, in many cases, had previously been ignored.
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Accelerate Derivatives Valuation by 700X
Portfolio managers and traders that use over the counter (OTC) derivatives often lack an accurate real-time view of the valuations and risk of their derivative positions, especially when trading exotic derivatives. Unlike liquid securities or exchange traded products, there is not always a market price available for OTC derivatives.
Videos
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Calibrating the SOFR Term Structure & Other Modelling Challenges
The current global reform of interest rate benchmarks is radically changing the status quo, with important consequences for pricing and risk management of financial instruments. This recording was taken from the WBS 4th Interest Rate Reform (IBOR Transition) Conference, a 3-day event focusing on the latest developments, challenges and opportunities that lie ahead within quant […]
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What are the Requirements for Advanced Credit Analytics?
Credit trading is changing - does your firm have the data, analytics and technology required to take advantage of this new environment?
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The Evolution of Credit Trading: Industry Survey
With the growth in bond issuance in 2020, credit is playing an increasingly important role in investment portfolios. The international bond market represents over $128 trillion in debt outstanding. The current credit market environment, characterised by uncertainty and persistent structural inefficiencies, is rich in relative value credit investment opportunities. Over the past five years, there has been robust growth in the […]
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Exploring Opportunities in Relative Value Credit
Relative value credit analytics has been the subject of investor attention over the last 12 months, due to the surge of issuance seen in the bond market and the volatility within the credit sector during COVID-19. Both created opportunities for realisation of value, and whilst the markets calmed down from the turbulence 12 months prior, the party is not over.
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The Growth of Relative Value Credit Strategies
The use of relative value credit analytics is not new, but the importance of this methodology has come into sharper focus and has been the subject of increased investor attention over the last 12 months.
Videos
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The Evolution of Credit Trading – Technology, Analytics & Data
With the increase in bond issuance in 2020, credit is playing an important role in portfolios. The current credit market environment, characterised by uncertainty and persistent structural inefficiencies is rich in relative value credit investment opportunities. The panellists discuss how firms can take advantage of this new environment with the right data, analytics and technology. […]
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Intel & Quantifi Accelerate Derivative Valuations by 700x Using AI on Intel Processors
Portfolio managers and traders that use over the counter (OTC) derivatives often lack an accurate real-time view of the valuations and risk of their derivative positions, especially when trading exotic derivatives. Unlike liquid securities or exchange traded products, there is not always a market price available for OTC derivatives. These products therefore need to be valued according to models that accurately calculate their theoretical fair value.
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The IBOR Transition: Challenges and the Road Ahead
The London Interbank Offered Rate, is often referred to as ‘the world’s most important number’, as it is a global benchmark interest rate upon which trillions of financial contracts rest, including mortgages, consumer loans and credit cards.
Videos
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Accelerating Derivative Valuations Using AI
Traditional valuation techniques often use expensive methods like numerical integration and Monte Carlo simulation. In this video, Sebastian Hahn, AI Lead, explains how Quantifi & Intel have taken a conventional model for the valuation of credit options and trained an Artificial Neural Network (ANN) to perform the same valuations achieving a speedup of 700x.
Whitepapers
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How to Accelerate XVA Performance
In the post-crisis world, an increasing number of banks have set up a centralized XVA desk. With the introduction of new regulations to ensure banks are adequately capitalized, it has become common practice to include certain costs in the pricing of OTC derivatives that, in many cases, had previously been ignored.
Videos
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Intel Coffee Chat: AI, Analytics & Risk Analysis
Quantifi recently took part in Intel's Coffee Chat series to discuss their partnership with Intel. In this video, Intel Vice President, Pete Baker discusses risk analysis, analytics and artificial intelligence on Intel architecture in the financial services sector with Sebastian Hahn, AI Lead, Quantifi.
Videos
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How to Accelerate XVA Performance
The calculation of XVAs is highly complex. One of the key challenges of XVAs is that adjustments need to be calculated on a portfolio basis rather than trade by trade. This requires dealing with a large number of computations and orders of magnitude more calculations for accurate results.
Videos
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Data Science Enabled Portfolio Management Solution
Quantifi's data science platform provides clients with the ability to do complex data analysis and flexible reporting using Python, Jupyter Notebooks and other popular data science tools. Integrated with Quantifi’s proven portfolio management solution, users benefit from complex client-driven analysis, strategy back-testing, ad-hoc portfolio what-if analysis - all using mixed data sets from diverse sources.
Videos
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Quantifi Leverages Intel Hardware to Accelerate XVA Calculations
In this presentation, experts from Quantifi and Intel explain how leveraging Intel’s latest hardware can accelerate the performance of largescale XVA workloads by increasing performance of the CPU and improving the efficiency of I/O.
Videos
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Navigating the IBOR Transition
The IBOR reform represents one of the biggest challenges facing financial services firms. Successful management will require significant change and strategic risk management. Preparing for the transition will require firms to establish a strategy to assess the impact and navigate transition risks. Is your firm ready?
Videos
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Next Generation Risk Technology Powered by Data Science
Regulators, internal stakeholders, customers, and investors are demanding more transparency with understanding of front office, risk, and capital models - from trading algos, capital models to counterparty risk models that incorporate statistical learning approaches.
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The Dynamics Driving Capital Markets, New York, 2019
Quantifi's 6th annual risk conference, at The Harmonie Club, New York, attracted delegates from across the industry for a compelling afternoon of unique insights and discussion on the dynamics driving capital markets. Topics covered included navigating the IBOR transition, concept drift in machine learning and the rise of fixed income ETFs.
Videos
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The Dynamics Driving Capital Markets, London, 2019
Quantifi's 7th annual risk conference, at Armourers' Hall, London, attracted delegates from across the industry for a compelling afternoon of unique insights and discussion on the dynamics driving capital markets. Topics covered included navigating the IBOR transition and the rise of fixed income ETFs.
Videos
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Trends in Structured Credit Markets Webinar
Following the credit crisis of 2008, tranche trading all but disappeared; it is now back with gusto. For example, bespoke tranche trading reached $80 Billion issuance in 2018, and continues to grow rapidly. Although a far cry from pre-crisis level, there are encouraging signs for the market’s revival.
Videos
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How Can Cloud Computing Transform Your Business?
With the increasing demands from customers, greater regulatory requirements and cost efficiency pressures, more and more firms are embracing cloud strategies to address the modern business imperatives of performance, flexibility, scalability and agility.
Videos
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Trends Shaping Portfolio and Investment Risk Management
Forward-looking investment management firms are searching for ways to outperform their peers. The firms that we see succeeding are executing based on a combination of focused business models, agile operational competency, and strong cost discipline, especially around core investment and risk functions.
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How Technology is Transforming the Future of Business
New technologies including AI, big data, Cloud, microservices, Modern CPUs, In-Memory Computing, Lambda Architectures and blockchain are reshaping how firms operate. Quantifi is at the forefront of these changes and our advanced architecture provides clients with significant value and competitive advantage. New technology brings significant benefits in usability, flexibility, scalability, and performance.
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Quantifi Enhances Performance with Intel
Rohan Douglas, CEO, talks about how Quantifi is leveraging Intel to enhance performance. Performance is critical to our clients being able to accurately measure their risks. For example, calculating the counterparty exposure for a mid-size bank’s trades may involve over 25 trillion trade valuations, each of which requires significant computation.
Videos
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The Dynamics Driving Financial Markets, New York, 2018
Quantifi's 5th annual risk conference, at The Yale Club, New York, attracted delegates from across the industry for a compelling afternoon of unique insights and discussion on the dynamics driving financial markets including AI/machine learning for investment managers, funding costs (KVA, FVA, MVA) for derivatives trading and impact of blockchain on the global financial markets.
Videos
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The Dynamics Driving Capital Markets, London, 2018
Quantifi's 6th annual risk conference, at Salters' Hall, London, attracted delegates from across the industry for a compelling afternoon of unique insights and discussion on the dynamics driving capital markets. Topics covered included IM requirements for cleared and bilateral trades, market changes post MiFID and the role of AI/Machine learning in financial services.
Case Studies
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COFCO International Selects Quantifi to Support Global Commodities Operations
COFCO International is the overseas agriculture business platform for COFCO Corporation, China's largest food and agriculture company. COFCO International is focused on being a leader in the global grains, oilseeds and sugar supply chains, with assets across the Americas, Europe and Asia-Pacific. COFCO International trades with more than 50 nations, handling over 100 million tonnes of related commodities with revenues of $31bn (figures from 2019).
Case Studies
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LFIS Capital Selects Quantifi for Broader Asset Coverage in Front-office Analytics & Risk Management
LFIS Capital (LFIS) is a leading Paris-based quantitative asset manager. Launched in 2013, LFIS has $11 billion of assets under management for a global client base. LFIS combines investment banking and asset management expertise to deliver innovative cross-asset, cross-instrument alternative, multi-asset and dedicated funds and solutions.
Case Studies
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New Zealand Superfund Takes an Advanced Approach to Credit & Liquidity Risk Management
New Zealand Superannuation Fund (NZSF) is the sovereign wealth fund of NZ. It’s purpose is to help pre-fund the future pension/superannuation liabilities of an increasingly aging NZ population. Since it was established in 2001, the Fund has grown in size to NZD 45 billion. It is a long-term, growth-oriented fund that invests globally, both directly and through external managers, into a wide range of asset classes and investment products.
Case Studies
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Investment Management Firm Goes Live with Quantifi as its Core Enterprise Risk Platform
The client is a rapidly growing investment manager based in New York City. Formed in 2016, the fund seeks to provide positive absolute returns while preserving capital in all market environments. The fund’s investment portfolio is focused on bonds, CDS, loans and stocks.
Case Studies
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Haven Cove Selects Quantifi to Scale for Growth
Haven Cove is a multi-strategy alternative investment management firm, based in London. Haven Cove wanted the ability to structure portfolios and implement strategies across the credit spectrum.
Case Studies
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Piraeus Bank Addresses XVA Requirements with Quantifi’s Single Solution
Piraeus Bank (Piraeus) is the largest bank in Greece, in terms of assets, and is considered the most innovative in the Greek market. Headquartered in Athens, with 18,500 employees across 8 countries, Piraeus Bank Group offers a full range of financial products and services to approximately 5.6 million customers. Total assets of the Group amounted to €82.2 billion, net loans to €48.3 billion and customer deposits to €39.3 billion on September 30, 2016.
Case Studies
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Helaba Enhances Enterprise-Wide Derivatives Counterparty Risk Management
Helaba, one of the leading German banks, with a workforce of approximately 6,300 and a balance sheet total of around EUR 180 billion, offers financial services to companies, banks, institutional investors and the public sector, both within Germany and internationally. The bank also acts as central clearing institution and service provider for 40% of German savings banks.
Case Studies
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AFD Treasury Leverages Quantifi’s Integrated Trading and Risk Management Solution
Agence Française de Développement (AFD), is an established and specialised financial institution that has been working to fight poverty and foster economic growth by financing sustainable development projects in developing countries across five continents. AFD is a regulated bank with 40 offices around the world and operating in more than 60 countries.
Case Studies
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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.
Case Studies
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Bunge Selects Quantifi’s Credit and Counterparty Risk Management Solution
Bunge is a leading agribusiness and food company with integrated operations that circle the globe, covering over 40 countries with approximately 35,000 employees. Bunge buys, sells, stores and transports oilseeds and grains to serve customers worldwide; processes oilseeds to make protein meal for animal feed and edible oil products for commercial customers and consumers; produces sugar and ethanol from sugarcane; mills wheat, corn and rice to make ingredients used by food companies; and sells fertilizer in South America.
Case Studies
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Global Asset and Wealth Manager Selects Quantifi for Portfolio Management
The client, one of the largest asset and wealth managers in the world, was looking for a single front-to-administrator solution for trading and risk management to address growth, market changes, and regulatory requirements including MiFID, EMIR and Dodd-Frank for one of its premier funds.
Case Studies
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CVA Pricing Analysis for Global Financial Institution
A global financial institution operating in over 50 countries with over 10 million customers, the client manages a large portfolio of both vanilla and exotic OTC derivatives across multiple currencies and asset classes including credit, interest rates and foreign exchange. The client is also a customer to the street and is charged CVA by dealer banks on derivative transactions.
Case Studies
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UK Bank Enhances Intraday Risk Management with Quantifi
As one of the UK’s leading and most sophisticated banks the client provides a range of comprehensive banking and financial markets services to over 25,000 customers - predominantly FTSE 100 companies. In 2009, the client selected Quantifi as the front-office pricing tool for their Structured Credit business. Over the course of the next 2 years, their usage of Quantifi expanded and they adopted Quantifi's risk platform to provide them with a consolidated view of risk across their entire credit trading business.
Case Studies
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Quantifi Supports Counterparty Risk Management at Global Bank
The client, one of the largest financial institutions in Asia Pacific, operates across multiple countries, serving over 10 million banking, consumer and wealth management customers. The client wanted to establish a CVA desk along with the necessary infrastructure to support their Credit, Rates and FX business globally. To do this they required an accurate and sophisticated solution that would allow them to price CVA on trades immediately.
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The Impact of COVID-19 on Credit Markets
The COVID-19 (C19) pandemic has severely affected global markets, causing economic disruption at an unprecedented speed and on a hitherto unknown scale. News of the virus first appeared in late December 2019 and by mid-January reports emerged that it was no longer contained within China. With the spread of the virus accelerating by mid-March 2020, the US economy has been severely impacted and there are understandable concerns about the damage caused to the worldwide economy.
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Managing Liquidity Risk in Times of Stress
Historically, liquidity risk has been the poor cousin of market risk and credit risk. While the global financial crisis of 2008/2009 first pushed the issue of liquidity risk to the forefront of attention, the most recent market dislocation due to the COVID-19 pandemic has once again highlighted the salient significance of the topic. This is particularly so for institutional investment managers who have to meet margin calls, perform regular fund rebalancing, execute redemptions, among other potentially liquidity-threatening activities. Failure to afford liquidity risk management the focus and priority jeopardizes the health of an institution, perhaps fatally so.
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How to Manage Cryptoasset Credit Risk
The Global Financial Crisis (GFC) of 2008 underscored the importance of credit risk in the financial markets. Since 2008, regulatory reform has been introduced to restore stability and confidence in the banking industry.
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Understanding the Cryptoasset Market
Cryptoassets are digital assets which use cryptographic techniques to generate a medium of exchange of financial transactions. Cryptocurrencies, utility coins, security tokens are all different types of cryptoassets.
Whitepapers
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Part 2: How Blockchain Could Change the Financial Markets
One of the most talked about topics in the financial markets today is blockchain. The global financial markets are investing in blockchain technology to revolutionise many aspects of financial products and services.
Whitepapers
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Part 1: Blockchain Technologies
Over the last 20 years, there have been significant technology advancements in the financial markets. Most recently, the interest in blockchain has been huge.
Whitepapers
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Portfolio Diversification in FRTB
FRTB impacts financial institutions across all functions as it poses operational, methodology and technology challenges. To meet the requirements financial institutions will need to rethink their business and technology strategies with a view to streamlining their processes and architecture.
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FRTB: Moving Towards a Practical Implementation
The Basel Committee on Banking Supervision (BCBS), has placed greater emphasis on improving market risk management since finalising Basel III. In May 2012, the BCBS released the first consultative document on the Fundamental Review of the Trading Book (FRTB).
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Vectorisation: The Rise of Parallelism
New challenges in the financial markets are being driven by changes in market structure, regulations and accounting rules like Basel III, EMIR, Dodd Frank, MiFID II, Solvency II, IFRS 13, IRFS 9, and FRTB. There is a rise in demand for vendors to deliver high performance solutions in order to satisfy the computational requirements of problems like XVA. This demand has pushed software providers to put technology at the forefront of the strategic roadmap and make significant optimisations.
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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.
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Identifying Liquidity Risk for Financial Stability
The global financial crisis highlighted the importance of liquidity in functioning financial markets. Pre-2008, market participants received easy access to readily available funding and were ill-prepared for events that transpired during the credit crisis. Failure to adequately assess and manage liquidity underpinned major market turmoil, triggering unprecedented liquidity events and the ultimate demise of Bear Stearns, Lehman Brothers and other financial institutions previously thought too big to fail.
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Microservices: The New Building Blocks of Financial Technology
The derivatives landscape has evolved greatly over the past few years, driven by the scale and pace of regulatory change, economic unease and competitive pressures. These drivers have heightened the attention on risk technology and operations, forcing firms to re-think their business operating models. The rapid pace of innovation in technology presents a whole new range of possibilities for how technology can be leveraged.
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Cost of Trading and Clearing OTC Derivatives in the Wake of Margining
Over-the-counter (OTC) derivatives markets continue to be impacted by regulatory changes. These interrelated changes are affecting financial institutions and their business operations. For example, rising capital requirements are impacting profitability and return on equity market participants are now being forced to clear standard OTC derivatives trades through Central Counterparties (CCPs). Soon, there will even be margin requirements for the remaining nonstandard, uncleared derivatives (MRUDs). This is prompting firms to better assess and manage costs (funding, collateral, capital) in a consistent manner at a trade, desk and business unit level. The question is, how much of these costs can be passed on to clients?
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A First View on the New CVA Risk Capital Charge
In July 2015, the Basel Committee of Banking Supervision (BCBS) published a consultative paper on credit valuation adjustment (CVA) risk to improve the current regulatory framework. In February 2016, first improvements of this framework have been introduced within the QIS instructions for the QIS based on December 2015 results.
Case Studies
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LFIS Capital Selects Quantifi for Broader Asset Coverage in Front-office Analytics & Risk Management
LFIS Capital (LFIS) is a leading Paris-based quantitative asset manager. Launched in 2013, LFIS has $11 billion of assets under management for a global client base. LFIS combines investment banking and asset management expertise to deliver innovative cross-asset, cross-instrument alternative, multi-asset and dedicated funds and solutions.
Blog
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Quantifi Targets Broader Markets: An Interview with Avadhut Naik, Head of Solutions, Quantifi
The process of trading, procuring and selling commodities has always been risky and intricate, and it’s only becoming more complex. Market structures have shifted, and so risk management solutions must respond to that change. Avadhut Naik, Head of Solutions at Quantifi talks to Commodity Technology Advisory about Quantifi's strong track record in the risk management space and how they've extended this capability to cover the needs of the commodity trading sector.
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How Can Artificial Intelligence Be Used To Accelerate Derivatives Valuations?
Quantifi recently took part in Intel's Coffee Chat series to discuss their partnership and collaboration with Intel. This Q&A was taken from the video series where Intel Vice President, Pete Baker, discusses risk analysis, analytics and artificial intelligence on Intel architecture in the financial services sector with Sebastian Hahn, AI Lead, Quantifi.
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Accelerating the Performance of Large-scale XVA Workloads
In the post-crisis world, an increasing number of banks have set up a centralized XVA desk. With the introduction of new regulations to ensure banks are adequately capitalized, it has become common practice to include certain costs in the pricing of OTC derivatives that, in many cases, had previously been ignored. To assist in the […]
Blog
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Growing Success in Commodities
This article first appeared on Commodity Technology Advisory’s CTRMCenter™ and is written by Patrick Reames, Founder of Commodity Technology Advisory. We recently visited with the team at Quantifi, including Sachvir Cheema, Director of Business Development, to get a briefing and a demo covering the firm’s activities and solutions in the commodities markets. Originally founded in […]
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How has COVID-19 Impacted the Credit Derivatives Market?
The COVID-19 (C19) pandemic has severely affected global markets, causing economic disruption at unprecedented speed and on a hitherto unknown scale. With the spread of the virus accelerating by mid-March 2020, the US economy has been severely impacted and there are understandable concerns about the damage caused to the worldwide economy. Unemployment continues to shake […]
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Preparing for the IBOR Transition: Technology and Models
The IBOR transition impacts almost every part of the financial services industry including banking, capital markets, insurance and asset management. The imminent retirement of IBOR has forced financial institutions to conduct an end-to-end inventory of IBOR exposure. This should cover the full range of processes, models and systems, including pricing, valuation, risk management and booking. […]
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The Challenges and Risks of the IBOR Transition
Interbank Offered Rates (IBORs), including the London Interbank Offered Rate (LIBOR), serve as widely accepted benchmark interest rates, and the forthcoming transition is one of the most significant changes for the financial services industry. The unparalleled scale of this industry-wide transition presents considerable challenges, including potential financial, legal, operational, conduct and reputation risks. This blog […]
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Survey: How are Firms Navigating the IBOR Transition?
Interbank Offer Rates (IBOR) play a pivotal role in the functioning of financial markets. The transition away from IBOR represents one of the biggest challenges facing financial services firms. The reform has been ongoing for more than two years, during which market-infrastructure providers, regulators, buy- and sell-side firms, and trade associations have been assessing and […]
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What are the Main Challenges Facing Buy-Side Firms?
Quantifi won Best buy-side Pricing/Valuation Service, Best Integrated Middle-Office Platform and the most highest-profile category of the night; Best Overall Buy-Side Product at the Waters Buy-Side Technology Awards. In this Q&A with WatersTechnology, Rohan Douglas, CEO, discusses the challenges facing buy-side firms and how Quantifi can help clients respond rapidly to market shifts, minimise risk […]
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How to Manage Liquidity Risk in a Volatile Market
Historically, liquidity risk has been the poor cousin of market risk and credit risk. While the global financial crisis of 2008/2009 first pushed the issue of liquidity risk to the forefront of attention, the most recent market dislocation due to the COVID-19 pandemic has once again highlighted the salient significance of the topic. This is […]
Blog
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Quantifi Survey Measures Adoption of Data Science in Finance
Data has a huge influence on the financial services industry. The volumes of data accumulated are so large that traditional evaluation and analysis methods are no longer suitable. Firms are now recognising that big data technologies, like data science, are the way forward. Using data science can help them focus their resources efficiently, make smarter […]
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What are the Use Cases for Data Science in the Financial Markets?
This blog post explores how Quantifi is leveraging data science and summarises the key trends shaping data science practices within a trading and risk management context. The Use of Data Science Data science applications are used across multiple industries. Obvious power users are high-tech web-based firms like Google, Netflix, Uber and Amazon. Bricks-and-mortar industries like […]
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How is Data Science Transforming Banking and Capital Markets?
Part 1 in this blog series explores data science in the context of risk management technology and operations. This blog reflects on how the financial environment, and the broader landscape, has changed over the last decade and the market trends that are driving the rise in data science approaches. Harsh Realities from the Financial Crisis […]
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Industry Perspectives on Data Science – Q&A
This blog is taken from the Quantifi webinar ‘Next Generation Risk technology Powered by data science’ featuring Celent. The panellists, Cubillas Ding, Research Director, Celent and Avadhut Naik, Head of Solutions, Quantifi, were presented with a number of questions from the audience. ‘The views and opinions expressed in this blog are those of the individual […]
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