Whitepapers

As a recognised thought leader, Quantifi regularly publishes whitepaper and articles that offer valuable insight and sharing of best practices on key topics related to capital markets

 

December 2016

FRTB: Strengthening Market Risk Practices?

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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?

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October 2016

Identifying Liquidity Risk for Financial Stability

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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.

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August 2016

Microservices: The New Building Blocks of Financial Technology

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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.

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March 2016

Cost of Trading and Clearing OTC Derivatives in the Wake of Margining

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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.

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February 2016

A First View on the New CVA Risk Capital Charge

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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.

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January 2016

Sell-Side Risk Management, Chartis RiskTech Quadrant®

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by Chartis Research

Risk management systems for sell-side institutions cover a range of capabilities across different categories of risk such as liquidity risk, market risk, credit risk and operational risk. They are required to support a broad range of asset classes, as well as a variety of risk analytics including both pre-deal and post-trade analytics. Sell-side risk management involves front, middle and back office operations. In this report Chartis covers the leading technology providers capable of addressing essential aspects of the emerging demand for sell-side risk management and focuses on the key capabilities and strengths of Quantifi as a provider of sell-side risk management solutions.

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Buy-Side System Requirements

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by Avadhut Naik (Quantifi) and Sol Steinberg (OTC Partners)

The financial markets have undergone dramatic change. While some of this is down to natural evolution, much of the change can be directly attributed to new rules introduced in the wake of the 2007 crisis. The combination of the Dodd-Frank Act, EMIR, MiFID ll and Basel lll signify the biggest regulatory change in decades. These reforms have triggered major change in how financial products are traded, settled, collateralized and reported, resulting in deep ongoing structural changes to the markets.

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