Whitepapers

As a recognised thought leader, Quantifi publishes whitepapers and articles that offer valuable insight on key topics related to the financial markets. Stay up-to-date with our latest whitepapers by following us on LinkedIn 

March 2019

How to Manage Cryptoasset Credit Risk

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by Quantifi & OKCoin

This whitepaper provides an insight into the risks inherent to the cryptoasset market and can be broken into three parts. Section one of this paper looks at the significance of credit risk associated with exchanges, custody and prime brokerage services. The second section explores counterparty risk in a traditional financial institutional setting. The final section provides insights on how to extend the traditional credit risk framework to the cryptoasset industry. Overall, we aim to bridge the credit and counterparty risk considerations between incumbent and cryptoasset institutions.

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February 2019

Understanding the Cryptoasset Market

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by Quantifi & OKCoin

The technological advancements behind cryptoassets have come a long way and have the potential to disrupt the financial system as we know it. Central banks and other financial institutions can play a key role in shaping this landscape. However, this global phenomenon is creating confusion on multiple levels i.e. how individual cryptoassets differ from one another and the role of the major participants in the cryptoasset ecosystem. With the buzz around bitcoin, altcoins, cryptocurrencies and tokens, a whole new financial ecosystem has been created. In this whitepaper, we will discuss the taxonomy of cryptoassets, market participants and the current capital market landscape.

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August 2018

Part 2: How Blockchain Could Change the Financial Markets

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by Quantifi, Noble & OKCoin

This whitepaper focuses on the applications of blockchain technology on various aspects of the capital markets. The blockchain technology platform is a distributed ledger technology (DLT) system, which has triggered a fundamental challenge to the nature of money, transforming current business processes. It is one of the most disruptive technologies available at present, designed to simplify the value chains around trading, payment and market infrastructure. If fully adopted, blockchain will create a more efficient, more transparent and more secure marketplace whilst reducing transaction processing costs.

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Part 1: Blockchain Technologies

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by Quantifi, Noble & OKCoin

Over the last 20 years, there have been significant technology advancements in the financial markets. Most recently, the interest in blockchain has been huge. This new technology has the potential to redefine operations and improve the efficiency, security and economics of the financial industry. It is time for financial institutions to change and benefit from the possibilities of distributed technologies. Firms are investing millions in developing blockchain applications. Few now doubt that blockchain could soon revolutionise the global financial services industry.

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December 2017

Portfolio Diversification in FRTB

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by Quantifi & BearingPoint

The global financial crisis exposed the shortcomings of market risk management practices of the trading book. In January 2016, the Basel Committee for Banking Supervision (BCBS) overhauled the approach to assess capital requirements with the Fundamental Review of the Trading Book (FRTB). With a 2019 deadline, FRTB is expected to have significant impact on financial institutions and financial markets in terms of infrastructure, capital requirements and operational controls. Banks must adhere to the rules of the fundamental review of the trading book to avoid higher capital requirements.

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October 2017

FRTB: Moving Towards a Practical Implementation

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by Quantifi & Monocle

FRTB is set to revolutionise current market risk practices, placing emphasis on the coordination of operational, risk and data management processes as well as systems and technology. To best respond to these new demands, banks need to make the right strategic and technology decisions and assess the impact on operations and processes across risk, front office, finance and IT. This paper highlights the main changes being introduced by the new market risk standards and the related challenges in terms of data management, modelling and technology.

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July 2017

Vectorisation: The Rise of Parallelism

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by Quantifi & Intel

New challenges in the financial markets driven by changes in market structure and regulations and accounting rules like Basel III, EMIR, Dodd Frank, MiFID II, Solvency II, IFRS 13, IRFS 9, and FRTB have increased demand for higher performance risk and analytics. Problems like XVA require orders of magnitude more calculations for accurate results. This demand for higher performance has put a focus on how to get the most out of the latest generation of hardware. Vectorisation is a key tool for dramatically improving the performance of code running on modern CPUs. Vectorisation is the process of converting an algorithm from operating on a single value at a time to operating on a set of values at one time. Modern CPUs provide direct support for vector operations where a single instruction is applied to multiple data (SIMD).

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