by Dmitry Pugachevsky (Quantifi) and Vlad Ender (Kauri Solutions)

The Basel Committee’s overhaul of the market risk capital framework marks a major change to previous versions. FRTB is likely to have a substantial influence in the way firms are organised, and their approach to measuring and reporting risk. For example, at desk level there will be a requirement to monitor SA capital in addition to IMA. Banks need to decide whether the costs associated with operational and IT change is justified. Are more complex products likely to pay for themselves given the majority of the life of a trade will need to be calculated with SA as opposed to IMA? What is the impact of CVA charges?

by Rahul Patel (Quantifi) and Sol Steinberg (OTC Partners)

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.

by Marc Adler and Mark Traudt (Quantifi)

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. Microservices is a new approach to financial technology that optimises evolutionary change at a granular level.

by Quantifi & Cognizant

Over-the-counter (OTC) derivatives markets continue to be impacted by regulatory changes. These changes are affecting the way financial institutions do business in multiple, interrelated ways. Rising capital requirements are impacting profitability and return on equity. Market participants are now being forced to clear standard OTC trades through Central Counterparties (CCPs) and will soon face margin requirements for the remaining, nonstandard, uncleared derivatives.

by Quantifi & d-fine

The recently published consultative document ‘Review of the Credit Valuation Adjustment (CVA) risk framework’ by the Basel lll Committee introduces new approaches for the calculation of regulatory capital. This white paper explores the effect of two of the new regulatory methods introduced in the consultative paper.