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Whitepapers

Unlock valuable insights into the financial markets with our collection of whitepapers.

Buy-Side System Requirements

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.

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IFRS13: The Implications for Hedge Accounting

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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IFRS13 – Accounting for CVA and DVA

IFRS13 – Accounting for CVA and DVA

With the introduction of IFRS 13, the requirements to calculate complex variables such as CVA and DVA remains. IFRS 13 will have significant implications for all firms that measure financial assets at fair value.

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Should Banks Charge for FVA?

Should Banks Charge for FVA?

Interest on the topic of Funding Valuation Adjustment (FVA) was renewed, particularly in light of the JPMorgan’s Q4 2013 earnings report, which for the first time included FVA.

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Buy-Side Risk Analytics, Chartis RiskTech Quadrant®

Buy-Side Risk Analytics, Chartis RiskTech Quadrant®

This report covers the competitive landscape for buy-side risk analytics. This report also covers the capabilities and market position of Quantifi for buy-side risk analytics. Chartis believes Quantifi to be one of the leading vendors in the buy-side risk analytics marketplace.

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Optimising Capital Requirements for Counterparty Credit Risk

Optimising Capital Requirements for Counterparty Credit Risk

CCR can cause significant losses if not managed properly. In response to this pressing matter, regulators have developed a number of alternative approaches to measure this new type of risk, including both standard default risk and market risk, leading to various types of capital requirements. The purpose of this paper has been to assess the impact of these different methodologies on some typical portfolio strategies.

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