Quantifi - All News

How do you solve a problem like basis risk?

Mon, 20 Feb 2012 17:27:24 GMT

A tail risk Credit desks breathed a sigh of relief, therefore, when the European Central Bank decided to pump billions of liquidity into the market via its long-term refinancing operation, which began on December 8. The head of European... read more

Credit swings cause earnings rethink

Sat, 18 Feb 2012 13:41:36 GMT

The impact of credit spreads on US bank earnings has become so volatile that it is causing a rethink of derivatives valuations. Last month’s earnings releases revealed such sharp swings from Q3 to Q4 and on a year-on-year basis that banks either... read more

Swings and roundabouts

Thu, 16 Feb 2012 13:54:49 GMT

DVA best practises still evolving Debt value adjustment (DVA) became a hot topic when banks announced their 3Q11 earnings, due to the magnitude and direction of the amounts reported. Best practises for pricing and hedging DVA have yet to be... read more

Earnings discrepancies show confusion over DVA, says Quantifi

Wed, 01 Feb 2012 22:11:16 GMT

An analysis of US bank earnings suggests there is widespread confusion over how to measure so-called debt value adjustment, according to analysis by Quantifi. Bank of America reported an $82 million loss, when, by Quantifi's calculations, it... read more

Quantifi Wins Risk Magazine’s Coveted Risk Management Technology Product of the Year Award

Mon, 23 Jan 2012 14:51:19 GMT

Quantifi receives one of the most prestigious global risk management technology awards with accolades for OIS discounting, CVA/DVA, ease of implementation and customer satisfaction London and New York - Quantifi, a leading provider of... read more

Accounting Quirk Lurks as Wild Card in Banks' Earnings

Thu, 12 Jan 2012 15:50:56 GMT

By KATY BURNE Accounting rules that helped U.S. banks list billions of dollars in paper gains on derivatives in the third quarter of 2011—boosting their bottom lines—may now work against some banks as they post losses for that line item in... read more

Accounting Rules Threatening To Buffet Bank Earnings, Again

Wed, 11 Jan 2012 15:58:00 GMT

Accounting rules that helped U.S. banks list billions of dollars in nominal gains on derivatives in the third quarter of 2011 may force some banks to post losses for that line item in the fourth quarter. The losses, paradoxically... read more

Risk awards 2012

Tue, 10 Jan 2012 17:14:45 GMT

Market participants have endured a 12-month period of dramatic upheaval. Despite the challenges they faced, some companies managed not just to survive but to thrive – and helped clients to do so, too. As the US debt ceiling talks laboured... read more

Risk Management Technology Product of the Year: Quantifi

Tue, 10 Jan 2012 17:10:15 GMT

Over the past few years, pricing practices have changed dramatically, in particular to capture the credit value adjustment (CVA) that reflects the chance a counterparty will collapse while owing money on a trade, and to discount collateralised... read more

ISDA Favors OIS Discounting

Tue, 10 Jan 2012 17:00:21 GMT

Standardized credit support annex to benefit swaps market. The launch by the International Swaps and Derivatives Association of a standardized credit support annex (SCSA) will accelerate the trend toward a more accurate method for pricing OTC ... read more

Tech firms prepare euro break-up contingencies

Tue, 10 Jan 2012 15:11:51 GMT

By Clive Davidson A splintering of the eurozone would require a host of changes to financial technology – from minor tweaks to major re-engineering. Some companies are working out how they would cope. Two years ago, the break-up of the... read more

New York Quantifi Seminar: Counterparty Risk and CVA, What's New?

Mon, 09 Jan 2012 18:22:24 GMT

Co-hosted by: Quantifi & PRMIA The OTC markets are going through significant changes due to new national regulations on derivatives and the impending Basel III capital accord. Many of these changes are being driven by counterparty risk... read more

FX Risk Systems Evolve

Mon, 09 Jan 2012 16:56:00 GMT

Analytics providers expand coverage to asset class. As demand continues to escalate for FX and FX derivatives, providers of analytics software are building out their product to service the asset class. Quantifi, a provider of analytics,... read more

9 Trends Reshaping Risk Software

Sun, 01 Jan 2012 15:07:28 GMT

TREND No. 5 Risk model validation. Another trend, driven not just by Basel, but by the intensified scrutiny of banks in general in the aftermath of the financial crisis, is the validation of risk models and reporting on the use and effectiveness... read more

Interview with Mr. Rohan Douglas, the CEO of Quantifi about the future of the OTC derivatives market

Mon, 19 Dec 2011 14:59:02 GMT

By Boris Agranovich With tons of speculation about the future of the OTC derivatives market and the need for financial reform and increased transparency, market practitioners are a great source for comments on the evolution of the market, how ... read more

New CDS counterparty hedge arrives

Fri, 16 Dec 2011 19:42:42 GMT

David Kelly, director of credit products at data analytics provider Quantifi, said the new indexed CCDS ought to alleviate several simulation problems that existed with original CCDS. “Doing this on a single-name by single-name basis has never... read more

Quantifi Sponsors Marcus Evans 'CVA and Counterparty Risk' Conference

Tue, 06 Dec 2011 14:59:34 GMT

2nd - 3rd February 2012

Quantifi is Business Development Partner at the 3rd Annual Conference 'CVA and Counterparty Risk: Furthering methodology for CVA in advance of the full implementation of Basel lll'

How the Credit Crisis has Changed Counterparty Risk Management

Mon, 05 Dec 2011 14:08:46 GMT

How the Credit Crisis has Changed Counterparty Risk Management By David Kelly Introduction The credit crisis and regulatory responses have forced banks to substantially update their counterparty risk management processes. New... read more

ORR's top 10 operational risk concerns in 2012

Tue, 29 Nov 2011 17:58:38 GMT

Regulatory compliance Keeping in line with new regulations will be high on the list again in 2012. The US Dodd-Frank Act has been passed, but uncertainty still surrounds the details of how the Act’s requirements will be translated into... read more

Quantifi Provides New FX Coverage and Support for Latest OTC Market Initiatives with Release of QX.1

Wed, 16 Nov 2011 18:11:31 GMT

Quantifi, a leading provider of analytics, trading and risk management solutions to the global OTC markets, today announced the latest version release of its pricing and risk analysis software. Driven by client needs and transformations in the... read more