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

 

January 2016

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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IFRS13: The Implications for Hedge Accounting

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by Dmitry Pugachevsky, Rohan Douglas (Quantifi) and 
Searle Silverman, Philip Van den Berg (Deloitte)

With the introduction of the new accounting standard, IFRS 13, the requirement to calculate complex variables, such as CVA and DVA has renewed emphasis. IFRS 13 has significant implications for all entities, including corporates and those in the financial services sector that hold derivatives, which are measured at fair value. CVA and DVA also result in additional challenges when performing hedge effectiveness testing under IAS 39.  This whitepapers examines these challenges and also the different approached for testing hedge effectiveness.

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IFRS13 - Accounting for CVA and DVA

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by Dmitry Pugachevsky, Rohan Douglas (Quantifi) and Roman Bedau (Deloitte)

According to IFRS 13, model-based fair value measurements have to take into account all risk factors that market participants would consider, including credit risk. In order to reflect the credit risk of the counterparty in an OTC-derivative transaction, an adjustment of its valuation has to be made. Therefore, depending on the type of derivative, not only does the market value of the counterparty’s credit risk (CVA) need to be taken into account, but also the company’s own credit risk (debit valuation adjustment - DVA) has to be considered in order to calculate the correct fair value. This whitepaper explores the different Fair Value Adjustments and valuation techniques under IFRS 13.

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Should Banks Charge for FVA?

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by Dmitry Pugachevsky, Quantifi

Interest on the topic of Funding Valuation Adjustment (FVA) was renewed, particularly in light of the JPMorgan’s Q4 2013 earnings report on January 14th 2014, which for the first time included FVA. This whitepaper focusses on the investor presentation delivered by JPMs Chief Financial Officer, Marianne Lake on JPMorgan adopting FVA. 

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Buy-Side Risk Analytics, Chartis RiskTech Quadrant®

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by Chartis Research

Buy-side firms are witnessing a rapidly changing operating environment. They need not only to comply with the regulations, but also to adapt to a new marketplace. The new goal is a performance-oriented trade and risk management execution strategy for asset allocation with a strong focus on stress-testing and scenario analysis. For buy-side risk management solutions, this means the focus has to be redefined with the priority to enable firms to follow high standards on corporate governance. This report by Chartis Research covers the competitive landscape for buy-side risk analytics. Chartis believes Quantifi to be one of the leading vendors in this space.

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Banks Are Not Ready for Counterparty Risk Elements of Basel lll

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by Quantifi and Ernst & Young

Quantifi, EY and PRMIA, hosted a seminar in London on ‘Managing Counterparty Risk & Basel lll’ and conducted a short survey. The findings highlighted that enhancing Counterparty Credit Risk management practices is a key focus for banks. This is in response to changes in accounting rules and new prudential and market regulations, which have tightened substantially following the financial crisis. Collectively, these changes are having a deep impact on the market and the way banks price and manage the risk associated with derivatives.

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Measurement and Management of Counterparty Risk

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by Avadhut Naik, Quantifi and Michael Bryant, InteDelta

The measurement and management of counterparty risk is a rapidly evolving area. A range of new regulatory requirements is changing the way in which institutions view risk. This affects not only risk quantification but the whole commercial model of an institution. New regulations or risk measures can affect the commercial attractiveness of an institution’s existing product range or client profile. Against a backdrop of discipline in constant evolution, this whitepaper explores some of the key areas associated with the management and measurement of counterparty risk.

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