Whitepapers | Quantifi

FRTB: Moving Towards a Practical Implementation

FRTB heralds a new era in bank risk management, making it one of the most critical items on a bank’s to-do list for the immediate future and beyond.

Vectorisation: The Rise of Parallelism

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.

FRTB: Strengthening Market Risk Practices?

This paper explores both FRTB frameworks in their historical context and how they affect bank balance sheets.

Identifying Liquidity Risk for Financial Stability

This whitepaper explores the importance of liquidity in the functioning of financial markets and the increasing regulatory pressures on capital market firms to ensure strong liquidity risk management practices are being carried out.

Microservices: The New Building Blocks of Financial Technology

Microservices is a software architecture style in which complex applications are composed of small, independent processes communicating with each other using language-agnostic APIs. These services are small, highly decoupled and focus on doing a small task, facilitating a modular approach to system-building.

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

Recent regulations are affecting the OTC derivatives markets in complex and interrelated ways, that are changing the ways firms do business.

A First View on the New CVA Risk Capital Charge

The impact of the new CVA risk regulation framework on calculation methods and the infrastructure of banks could potentially be the turning point for many of the medium-sized institutes we are seeing in the market.

Buy-Side System Requirements

Leading investment managers are examining integrated front-to-back systems that can provide a complete solutions for all of their analytics, trading and risk.

IFRS13: The Implications for Hedge Accounting

This whitepaper explores the challenges, risk factors, calculation techniques, and concepts for measuring financial instruments under IFRS 13. It examines the effect of CVA and DVA on hedge effectiveness, the different approaches for testing hedge effectiveness and best practice for inclusion or exclusion of CVA and DVA in setting up hypothetical derivatives.

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