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 

January 2016

Should Banks Charge for FVA?

Request a Copy

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. 

Request a Copy

Buy-Side Risk Analytics, Chartis RiskTech Quadrant®

Request a Copy

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.

Request a Copy

Banks Are Not Ready for Counterparty Risk Elements of Basel lll

Request a Copy

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.

Request a Copy

Measurement and Management of Counterparty Risk

Request a Copy

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.

Request a Copy

Optimising Capital Requirements for Counterparty Credit Risk

Request a Copy

by Rohan Douglas, Dmitry Pugachevsky (Quantifi) and
Jean-Roch Sibille, Aurelie Civilio (Risk Dynamics)

This whitepaper provides some clarity on how to deal with Counterparty Credit Risk (CCR) in the current financial environment, by detailing some of the multiple aspects and challenges involved. The paper also studies the conditions for the effective management of CCR by detailing and comparing capital requirements, identifying inconsistencies in prudential regulations and applying the various capital approaches on some typical portfolio strategies observed within financial institutions.

Request a Copy

Comparing Alternate Methods for Calculating CVA Capital Charges Under Basel III

Request a Copy

co-authored by Jon Gregory, Solum Financial Partners

The global financial crisis brought counterparty credit risk and CVA very much into the spotlight. The Basel III proposals first published in December 2009 introduced changes to the Basel II rules and the need for a new capital charge 'CVA VaR' against the volatility of CVA. There are two ways for banks to compute CVA VaR, so-called standardised and advanced methods, which depend on their current regulatory approval with respect to other aspects. Furthermore, there is the potential to reduce the capital charges via eligible hedges. This whitepaper explores the capital charges under the two regimes and the capital relief that can be achieved.

Request a Copy

OIS and CSA Discounting

Request a Copy

by Quantifi

Prior to the credit crisis, interest rate modelling was generally well understood. Following the crisis, interest rate modelling has undergone nothing short of a revolution. This whitepaper covers the new generation of interest rate modelling based on overnight index swap (OIS) discounting and integrated Credit Valuation Adjustment (CVA) and how this new framework requires a rethink of derivative modelling from first principles and presents significant challenges for existing valuation, risk management, and margining systems.

Request a Copy