1) The document discusses Quantifi's adoption of a microservices architecture to allow its risk management functionality to be consumed in different ways and be more receptive to technological evolution.
2) It highlights how firms are moving towards single integrated risk management solutions to reduce costs and consolidate positions, favoring trading, risk, and analytics contained within a single platform.
3) Quantifi provides a single solution for risk, analytics and trading across multiple asset classes built on Microsoft .NET and C# that offers rich functionality, extensibility, and scalability across major components.
The spring 2017 Insight newsletter from Quantifi, discussing FRTB and whether it is strengthening market risk practices, and whether banks are prepared for the changes it will bring
everis Marcus Evans FRTB Conference 23Feb17Jonathan Philp
Â
everis was Gold Sponsor of the Marcus Evans Conference â4th Edition: Impact of the Fundamental Review of the Trading Bookâ at Canary Wharf, London on 23-24th February 2017.
This was a timely opportunity to catch up with banks and solution partners as we move into the implementation phase of Fundamental Review of the Trading Book (FRTB) programmes. We heard views and case studies across a range of topics including market risk methodology, operating model definition and data and systems architecture design.
Our presentation at the conference focused on the architectural challenges posed by FRTB.
The spring 2017 Insight newsletter from Quantifi, discussing FRTB and whether it is strengthening market risk practices, and whether banks are prepared for the changes it will bring
everis Marcus Evans FRTB Conference 23Feb17Jonathan Philp
Â
everis was Gold Sponsor of the Marcus Evans Conference â4th Edition: Impact of the Fundamental Review of the Trading Bookâ at Canary Wharf, London on 23-24th February 2017.
This was a timely opportunity to catch up with banks and solution partners as we move into the implementation phase of Fundamental Review of the Trading Book (FRTB) programmes. We heard views and case studies across a range of topics including market risk methodology, operating model definition and data and systems architecture design.
Our presentation at the conference focused on the architectural challenges posed by FRTB.
Technical challenges of CVA implementation
Objectives of a CVA information system
Main technical challenges
Implementation use cases and lessons learnt
Solving the FRTB Challenge: Why You Should Consider an Aggregation SolutionFIS
Â
Many banks face multiple challenges around market risk, with outdated infrastructure, fragmented systems, and inflexible reporting tools. And now FRTB raises the stakes. The Fundamental Review of the Trading Book is the biggest change in market risk rules that weâve seen in a generation.
The answer to the FRTB challenge is a centralized aggregation solution that allows you to source required prices from one or more front-office and risk engines, perform bank-wide FRTB calculations using those inputs, and combine the results with intermediate data and expose inputs via reporting and analysis tools.
View our slideshow to learn more about aggregation challenges and why you should consider an external solution.
Adopting a Top-Down Approach to Model Risk Governance to Optimize Digital Tra...Jacob Kosoff
Â
Model risk management programs often began their journey by first creating a definition of a model. Then model risk groups would perform model risk activities on each item that met the definition of a model. These model risk activities include classifying risk, assessing current uses, evaluating ongoing monitoring results, validating conceptual soundness, testing model changes, and so forth. This approach was an important beginning for the field of model risk management as it helped identify existing models, discover fundamental errors in existing models, and prevent inappropriate use of models. However, model risk teams often focused only on processes that already include models and did not identify processes that would be significantly improved by using models. This results in model risk teams overlooking modeling capabilities that a process truly needs. However, model risk teams can go on the offensive and use their model inventory as a source of crucial business intelligence. Model risk teams can start to identify processes that do not include models and could recommend the use of existing models to improve those processes. Furthermore, model risk teams can reduce expenses at a bank by guarding against the development or purchase of models with redundant capabilities. Model risk management teams can ultimately be a champion for the extensibility and efficient use of models at an institution. The article was written by Jacob Kosoff, Aaron Bridgers, and Henry Lee. The article was published by the RMA Journal in September 2020.
Challenges in Practical Market Risk Management - a presentation by Anshuman Prasad, Director, Risk and Analytics at CRISIL GR&A made at the 15th Annual GARP Risk Management Convention, New York.
Augusto carvalho gestiĂłn de riesgo de crĂŠdito en portafolio - final edition...Augusto_Carvalho
Â
El 19 Congreso de TesorerĂa, incluye los temas mĂĄs relevantes para la gestiĂłn de TesorerĂa y para la acertada toma de decisiones del dĂa a dĂa en los mercados financieros, por ejemplo: EvoluciĂłn de la economĂa global y local, las tendencias mundiales en gestiĂłn de tesorerĂa corporativa para el sector real, los retos y las oportunidades para el mercado de deuda pĂşblica, asĂ como la gestiĂłn de liquidez y riesgo de crĂŠdito bajo los lineamientos de Basilea III.
The Evolution of Counterparty Credit Risk: An Insider's View
Quantifi CEO, Rohan Douglas, talks about the latest release
Q&A with Olivier Renault of Stormharbor
everis was Gold Sponsor of the Marcus Evans Conference â4th Edition: Impact of the Fundamental Review of the Trading Bookâ at Canary Wharf, London on 23-24th February 2017.
This was a timely opportunity to catch up with banks and solution partners as we move into the implementation phase of Fundamental Review of the Trading Book (FRTB) programmes. We heard views and case studies across a range of topics including market risk methodology, operating model definition and data and systems architecture design.
Our presentation at the conference focused on the architectural challenges posed by FRTB.
The July 2015 Insight newsletter, discussing the changing regulatory landscape and including a conversation with Matthew Lynes, Senior Investment Manager at Aberdeen Asset Management
Given the current regulatory environment and the resulting changes going on in the industry today, the chief risk officer has become the most important person in the financial institution.
WolfPAC Solutions Group Director Michael Cohn interviewed chief risk officers at financial institutions across the country to find out how they became a CRO, what skills and experience they bring to the role, and what is expected of them now.
Conversation with Matthew Lynes, Aberdeen Asset Management. Buy-Side System Requirements - Whitepaper by Quantifi and OTC Partners. The Cost of Collateral - Webinar Survey.
The spring 2013 Insight newsletter from Quantifi, discussing the management of counterparty credit risk.
A conversation with Arne Loftingsmo, Portfolio Manager at KLP Kapitalforvaltning AS.
Technical challenges of CVA implementation
Objectives of a CVA information system
Main technical challenges
Implementation use cases and lessons learnt
Solving the FRTB Challenge: Why You Should Consider an Aggregation SolutionFIS
Â
Many banks face multiple challenges around market risk, with outdated infrastructure, fragmented systems, and inflexible reporting tools. And now FRTB raises the stakes. The Fundamental Review of the Trading Book is the biggest change in market risk rules that weâve seen in a generation.
The answer to the FRTB challenge is a centralized aggregation solution that allows you to source required prices from one or more front-office and risk engines, perform bank-wide FRTB calculations using those inputs, and combine the results with intermediate data and expose inputs via reporting and analysis tools.
View our slideshow to learn more about aggregation challenges and why you should consider an external solution.
Adopting a Top-Down Approach to Model Risk Governance to Optimize Digital Tra...Jacob Kosoff
Â
Model risk management programs often began their journey by first creating a definition of a model. Then model risk groups would perform model risk activities on each item that met the definition of a model. These model risk activities include classifying risk, assessing current uses, evaluating ongoing monitoring results, validating conceptual soundness, testing model changes, and so forth. This approach was an important beginning for the field of model risk management as it helped identify existing models, discover fundamental errors in existing models, and prevent inappropriate use of models. However, model risk teams often focused only on processes that already include models and did not identify processes that would be significantly improved by using models. This results in model risk teams overlooking modeling capabilities that a process truly needs. However, model risk teams can go on the offensive and use their model inventory as a source of crucial business intelligence. Model risk teams can start to identify processes that do not include models and could recommend the use of existing models to improve those processes. Furthermore, model risk teams can reduce expenses at a bank by guarding against the development or purchase of models with redundant capabilities. Model risk management teams can ultimately be a champion for the extensibility and efficient use of models at an institution. The article was written by Jacob Kosoff, Aaron Bridgers, and Henry Lee. The article was published by the RMA Journal in September 2020.
Challenges in Practical Market Risk Management - a presentation by Anshuman Prasad, Director, Risk and Analytics at CRISIL GR&A made at the 15th Annual GARP Risk Management Convention, New York.
Augusto carvalho gestiĂłn de riesgo de crĂŠdito en portafolio - final edition...Augusto_Carvalho
Â
El 19 Congreso de TesorerĂa, incluye los temas mĂĄs relevantes para la gestiĂłn de TesorerĂa y para la acertada toma de decisiones del dĂa a dĂa en los mercados financieros, por ejemplo: EvoluciĂłn de la economĂa global y local, las tendencias mundiales en gestiĂłn de tesorerĂa corporativa para el sector real, los retos y las oportunidades para el mercado de deuda pĂşblica, asĂ como la gestiĂłn de liquidez y riesgo de crĂŠdito bajo los lineamientos de Basilea III.
The Evolution of Counterparty Credit Risk: An Insider's View
Quantifi CEO, Rohan Douglas, talks about the latest release
Q&A with Olivier Renault of Stormharbor
everis was Gold Sponsor of the Marcus Evans Conference â4th Edition: Impact of the Fundamental Review of the Trading Bookâ at Canary Wharf, London on 23-24th February 2017.
This was a timely opportunity to catch up with banks and solution partners as we move into the implementation phase of Fundamental Review of the Trading Book (FRTB) programmes. We heard views and case studies across a range of topics including market risk methodology, operating model definition and data and systems architecture design.
Our presentation at the conference focused on the architectural challenges posed by FRTB.
The July 2015 Insight newsletter, discussing the changing regulatory landscape and including a conversation with Matthew Lynes, Senior Investment Manager at Aberdeen Asset Management
Given the current regulatory environment and the resulting changes going on in the industry today, the chief risk officer has become the most important person in the financial institution.
WolfPAC Solutions Group Director Michael Cohn interviewed chief risk officers at financial institutions across the country to find out how they became a CRO, what skills and experience they bring to the role, and what is expected of them now.
Conversation with Matthew Lynes, Aberdeen Asset Management. Buy-Side System Requirements - Whitepaper by Quantifi and OTC Partners. The Cost of Collateral - Webinar Survey.
The spring 2013 Insight newsletter from Quantifi, discussing the management of counterparty credit risk.
A conversation with Arne Loftingsmo, Portfolio Manager at KLP Kapitalforvaltning AS.
The autumn 2012 newsletter from Quantifi, discussing alternative methods for calculating CVA charges under Basel III. Robert Goldstein, Director of Client Services at Quantifi talks about Quantifi V10.3 and we chat with Joost Zuidberg, Managing Director of The Currency Exchange Fund
Counterparty Credit RISK | Evolution of standardised approachGRATeam
Â
In this Article, we have made a focus on the new standard methodology (SA-CCR) for computing the EAD related to Counterparty Credit Risk portfolios. The implementation of a SA-CCR approach will become increasingly important for the Banks given the publication of the finalised Basel III reforms; in which it will require from financial institutions to compute an output floor to compare their level of RWAs between Internal and Standard approaches.
Counterparty Credit Risk | Evolution of
the standardised approach to determine the EAD of counterparties
This article focuses on Counterparty Credit Risk. The topic of this article is on the evolution and need of standardised method for the assessment of Exposure at Default of counterparties and their Capitalisation under regulatory requirements.
SAP HANA for Capital Markets Risk ManagementMartin Tenk
Â
nother great example of the innovations that HANA can provide. This time in Capital Markets, where it enables immediate intraday risk reporting and analysis.
Banks are scrambling to meet with IFRS 9 guidelines and are setting down on the path to implement various ECL estimation methodologies and models. But a topic that hasnât been given enough attention is the need for governance of these models and the attendant model risk management framework that needs to be set up to lend credibility to the model estimates. This blog touches upon the need for validation of models and how model risk governance has become paramount in view of the new guidelines.
CVA, DVA and Q4 Bank Earnings
Conversation with Brian Naini, Channel Capital
Quantifi releases Version 10.2
Quantifi launches counterparty risk and CVA portal
Similar to Quantifi newsletter Insight spring 2016 (20)
The spring 2014 Insight newsletter from Quantifi, including a conversation with Hannan Mohammed, deputy head of the funding and markets division of AFD, and a Q&A with Mark Traudt, CTO of Quantifi.
In the last few years, 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. Regulators, legislators and central bank governors have been determined to avert another bubble bursting or an unexpected event that could threaten markets. Lawmakers have targeted key financial practices for reform, radically altering the expectations and behavior of industry participants. The combination of the Dodd-Frank Act, European Markets Infrastructure Regulation (EMIR), MiFID ll and Basel lll signify the biggest regulatory change in decades. These reforms have resulted in major change to how financial products are traded, settled, collateralized and reported, resulting in deep and ongoing structural changes to the markets.
There is no doubt that these new rules are directly impacting buy-side firms â be they asset managers, hedge funds, insurance companies or pension funds. But while the changes have certainly brought challenges, they have also brought opportunities. Firms that can proactively evaluate structural and operational dislocations in the marketplace and tailor business models to leverage the opportunities while addressing the challenges will be in the best position to stand apart from their competitors. Revised business models call for revisions to supporting processes and systems. Buy-side firms should look to re-architect their processes and technology infrastructure, with a goal to strengthen risk control and oversight, enhance transparency and improve efficiency of front-to-back office control functions.
The credit crisis, and the regulatory response it spawned have fundamentally reshaped financial markets for buy-side firms. But while the changes have brought about challenges, they have also ushered in opportunities. The key to success will be the speed with which firms are able to understand the changing marketplace and adapt their business models to align with the changes.
IFRS 13 CVA DVA FVA and the Implications for Hedge Accounting - By Quantifi a...Quantifi
Â
International Financial Reporting Standard 13: fair value measurement (IFRS 13) was originally issued in May 2011 and applies to annual periods beginning on or after 1 January 2013. IFRS 13 provides a framework for determining fair value, clarifies the factors to be considered for estimating fair value and identifies key principles for estimating fair value. IFRS 13 facilitates preparers to apply, and users to better understand, the fair value measurements in financial statements, therefore helping improve consistency in the application of fair value measurement.
Quantifi whitepaper basel lll and systemic riskQuantifi
Â
One of the key shortcomings of the first two Basel Accords is that they approached the solvency of each institution independently. The recent crisis highlighted the additional âsystemicâ risk that the failure of one large institution could cause the failure of one or more of its counterparties, which could trigger a chain reaction.
Basel III addresses this issue in two ways:
1) by significantly increasing capital buffers for risks related to the interconnectedness of the major dealers and
2) incentivising institutions to reduce counterparty risk through clearing and active management (hedging). Since Basel III may not explicitly state how some of the new provisions address systemic risk, some analysis is necessary.
Quantifi whitepaper how the credit crisis has changed counterparty risk man...Quantifi
Â
This paper will explore some of the key changes to internal counterparty risk management processes by tracing typical workflows within banks before and after CVA desks, and how increased clearing due to regulatory mandates, affects these workflows. Since CVA pricing and counterparty risk management workflows require extensive amounts of data, as well as a scalable, high-performance technology, it is important to understand the data management and analytical challenges involved.
⢠Current trends and best practices
⢠Key data and technology challenges
What website can I sell pi coins securely.DOT TECH
Â
Currently there are no website or exchange that allow buying or selling of pi coins..
But you can still easily sell pi coins, by reselling it to exchanges/crypto whales interested in holding thousands of pi coins before the mainnet launch.
Who is a pi merchant?
A pi merchant is someone who buys pi coins from miners and resell to these crypto whales and holders of pi..
This is because pi network is not doing any pre-sale. The only way exchanges can get pi is by buying from miners and pi merchants stands in between the miners and the exchanges.
How can I sell my pi coins?
Selling pi coins is really easy, but first you need to migrate to mainnet wallet before you can do that. I will leave the telegram contact of my personal pi merchant to trade with.
Tele-gram.
@Pi_vendor_247
how to sell pi coins in all Africa Countries.DOT TECH
Â
Yes. You can sell your pi network for other cryptocurrencies like Bitcoin, usdt , Ethereum and other currencies And this is done easily with the help from a pi merchant.
What is a pi merchant ?
Since pi is not launched yet in any exchange. The only way you can sell right now is through merchants.
A verified Pi merchant is someone who buys pi network coins from miners and resell them to investors looking forward to hold massive quantities of pi coins before mainnet launch in 2026.
I will leave the telegram contact of my personal pi merchant to trade with.
@Pi_vendor_247
how can I sell pi coins after successfully completing KYCDOT TECH
Â
Pi coins is not launched yet in any exchange đą this means it's not swappable, the current pi displaying on coin market cap is the iou version of pi. And you can learn all about that on my previous post.
RIGHT NOW THE ONLY WAYÂ you can sell pi coins is through verified pi merchants. A pi merchant is someone who buys pi coins and resell them to exchanges and crypto whales. Looking forward to hold massive quantities of pi coins before the mainnet launch.
This is because pi network is not doing any pre-sale or ico offerings, the only way to get my coins is from buying from miners. So a merchant facilitates the transactions between the miners and these exchanges holding pi.
I and my friends has sold more than 6000 pi coins successfully with this method. I will be happy to share the contact of my personal pi merchant. The one i trade with, if you have your own merchant you can trade with them. For those who are new.
Message: @Pi_vendor_247 on telegram.
I wouldn't advise you selling all percentage of the pi coins. Leave at least a before so its a win win during open mainnet. Have a nice day pioneers âĽď¸
#kyc #mainnet #picoins #pi #sellpi #piwallet
#pinetwork
how to sell pi coins on Bitmart crypto exchangeDOT TECH
Â
Yes. Pi network coins can be exchanged but not on bitmart exchange. Because pi network is still in the enclosed mainnet. The only way pioneers are able to trade pi coins is by reselling the pi coins to pi verified merchants.
A verified merchant is someone who buys pi network coins and resell it to exchanges looking forward to hold till mainnet launch.
I will leave the telegram contact of my personal pi merchant to trade with.
@Pi_vendor_247
Introduction to Indian Financial System ()Avanish Goel
Â
The financial system of a country is an important tool for economic development of the country, as it helps in creation of wealth by linking savings with investments.
It facilitates the flow of funds form the households (savers) to business firms (investors) to aid in wealth creation and development of both the parties
Poonawalla Fincorp and IndusInd Bank Introduce New Co-Branded Credit Cardnickysharmasucks
Â
The unveiling of the IndusInd Bank Poonawalla Fincorp eLITE RuPay Platinum Credit Card marks a notable milestone in the Indian financial landscape, showcasing a successful partnership between two leading institutions, Poonawalla Fincorp and IndusInd Bank. This co-branded credit card not only offers users a plethora of benefits but also reflects a commitment to innovation and adaptation. With a focus on providing value-driven and customer-centric solutions, this launch represents more than just a new productâit signifies a step towards redefining the banking experience for millions. Promising convenience, rewards, and a touch of luxury in everyday financial transactions, this collaboration aims to cater to the evolving needs of customers and set new standards in the industry.
Empowering the Unbanked: The Vital Role of NBFCs in Promoting Financial Inclu...Vighnesh Shashtri
Â
In India, financial inclusion remains a critical challenge, with a significant portion of the population still unbanked. Non-Banking Financial Companies (NBFCs) have emerged as key players in bridging this gap by providing financial services to those often overlooked by traditional banking institutions. This article delves into how NBFCs are fostering financial inclusion and empowering the unbanked.
what is the future of Pi Network currency.DOT TECH
Â
The future of the Pi cryptocurrency is uncertain, and its success will depend on several factors. Pi is a relatively new cryptocurrency that aims to be user-friendly and accessible to a wide audience. Here are a few key considerations for its future:
Message: @Pi_vendor_247 on telegram if u want to sell PI COINS.
1. Mainnet Launch: As of my last knowledge update in January 2022, Pi was still in the testnet phase. Its success will depend on a successful transition to a mainnet, where actual transactions can take place.
2. User Adoption: Pi's success will be closely tied to user adoption. The more users who join the network and actively participate, the stronger the ecosystem can become.
3. Utility and Use Cases: For a cryptocurrency to thrive, it must offer utility and practical use cases. The Pi team has talked about various applications, including peer-to-peer transactions, smart contracts, and more. The development and implementation of these features will be essential.
4. Regulatory Environment: The regulatory environment for cryptocurrencies is evolving globally. How Pi navigates and complies with regulations in various jurisdictions will significantly impact its future.
5. Technology Development: The Pi network must continue to develop and improve its technology, security, and scalability to compete with established cryptocurrencies.
6. Community Engagement: The Pi community plays a critical role in its future. Engaged users can help build trust and grow the network.
7. Monetization and Sustainability: The Pi team's monetization strategy, such as fees, partnerships, or other revenue sources, will affect its long-term sustainability.
It's essential to approach Pi or any new cryptocurrency with caution and conduct due diligence. Cryptocurrency investments involve risks, and potential rewards can be uncertain. The success and future of Pi will depend on the collective efforts of its team, community, and the broader cryptocurrency market dynamics. It's advisable to stay updated on Pi's development and follow any updates from the official Pi Network website or announcements from the team.
where can I find a legit pi merchant onlineDOT TECH
Â
Yes. This is very easy what you need is a recommendation from someone who has successfully traded pi coins before with a merchant.
Who is a pi merchant?
A pi merchant is someone who buys pi network coins and resell them to Investors looking forward to hold thousands of pi coins before the open mainnet.
I will leave the telegram contact of my personal pi merchant to trade with
@Pi_vendor_247
If you are looking for a pi coin investor. Then look no further because I have the right one he is a pi vendor (he buy and resell to whales in China). I met him on a crypto conference and ever since I and my friends have sold more than 10k pi coins to him And he bought all and still want more. I will drop his telegram handle below just send him a message.
@Pi_vendor_247
The WhatsPump Pseudonym Problem and the Hilarious Downfall of Artificial Enga...
Â
Quantifi newsletter Insight spring 2016
1. Newsletter | Spring 2016
INSIGHT
First View on the New CVA Risk Capital Charge
Managing the Cost of Collateral
MICROSERVICES
The New Building Blocks
of Financial Technology
2. 2 | www.quantifisolutions.com
CEO Message
Since the September 2015 issue of InSight, the news headlines have been occupied by the UKâs
relationship with the EU and the impact of âBrexitâ, the Chinese economy falling to its slowest growth
rate for 25 years and the Fedâs historic rate rise. There have also been significant discussions and
concerns around liquidity in some areas of the fixed income markets. This is an area of increased focus
for Quantifi and one where we have invested significant resources to deliver sophisticated tools to help
our clients more accurately measure and manage liquidity risk.
There has been a great deal of talk about the need for capital marketsâ to invest in technology.
Leveraging better technology can increase flexibility, improve performance, reduce operational
risk, and lower costs. Quantifi has invested heavily in BI and Big Data technology. Micro-services
architecture is the next technology innovation that will fundamentally reshape the structure of risk
technology. Our lead article written by Marc Adler, Quantifiâs Chief Architect, highlights how Quantifi is
adopting a micro-services architecture to allow our functionality to be consumed in different ways and
more receptive to technological evolution.
This issue also includes a summary of a recent Quantifi whitepaper co-written by d-fine, a leading
consultancy firm headquartered in Frankfurt, on the new approaches for calculating regulatory
capital in response to the recently published CVA risk framework document published by the Basel lll
Committee.
In the coming weeks Quantifi will be hosting a series of breakfast briefings in London and New York.
We have an exciting programme of topics, the first of which will focus on âsell side risk technologyâ.
The last 12 months have been a period of significant progress for Quantifi. With recent industry awards
and client wins, our technology is seen as a key differentiator in helping the market navigate through
complex changes in market structure and regulation. Our significant re-investment in our solutions
continues to pay dividends for our clients.
Rohan Douglas, CEO, Quantifi
3. www.quantifisolutions.com | 3
News
NewOak Selects Quantifiâs Single
Solution for Pricing and Analytics
âWe chose to integrate Quantifi into our
solutions because their product complemented
our existing technology framework while adding
a high level of functionality. We were further
impressed with Quantifiâs market presence,
reputation and the high level of support.â
Steve Segretta, Managing Director, NewOak
Best Risk Management Technology
Provider for Second Successive Year
Quantifi named Best Risk Management
Technology Provider at the fourth annual MENA
Fund Manager Fund Services Awards. Companies
are evaluated on financial progress, growth, client
satisfaction, genuine product innovation and
adaptability in the face of new client demand and
new regulations.
Risk Management Software of the Year
for Financial Risk
Judged by an independent panel of experts,
the CIR Risk Management Awards recognise
organisations and teams that have significantly
added to the understanding and best practice
of risk management. âQuantifi is delighted
to receive the Risk Management Software of
the Year award, especially considering the
tough opposition from four other credible risk
technology providers.â Roland Jordan, Head of
EMEA Sales, Quantifi
Events
ComRisk 2016
Quantifi to present at ComRisk
London, 25-26th May, 2016
Forius Agri-Business Group
Quantifi invited to present at Forius
Louisville, KY, 15-16 June, 2016
Cover Story
Quantifi Micro-Services Architecture
The increasing impact of emerging regulations, market
unease and internal pressures have heightened the atten-
tion on risk technology and operations. With the traditional
segmented approach to risk management no longer suit-
able, the application of integrated risk management is fast
becoming best practice. With a focus on reducing costs
and a desire to consolidate positions in as few systems as
possible, firms are moving towards a more balanced, busi-
ness aligned, and risk based strategy.
Contents
A First View on the New CVA Risk Capital Charge
The recently published consultative document âReview
of the Credit Valuation Adjustment (CVA) risk frameworkâ
by the Basel Committee introduces new approaches
for the calculation of regulatory capital. This article
explores the effect of two of the new regulatory methods
introduced in the consultative paper. The new approaches
considered are aligned to the CVA calculations under IFRS
and the market risk framework under the Committeesâ
Fundamental Review of the Trading Book (FRTB).
Infographic: Managing the Cost of Collateral
120 individuals from across the industry took part in the
Quantifi webinar âCost of Collateral for Clearingâ and were
surveyed on the challenges associated with clearing and
how they plan to address them.
4. 4 | www.quantifisolutions.com
⢠ensure all important drivers of CVA risk and CVA hedges are
covered in the Basel regulatory capital standard
⢠align the capital standard with the fair value measurement of
CVA employed under various accounting regimes
⢠ensure consistency with the proposed revisions to the market
risk framework under the Basel Committeeâs Fundamental
Review of the Trading Book
The consultative paper proposes two frameworks to accommodate
different types of banks with respect to the ability to calculate CVA
sensitivities:
⢠The âBasic CVA frameworkâ (BA-CVA), based on a formula
similar to the current standardized method
⢠The âFRTB-CVA frameworkâ consisting of the standardized
approach (SA-CVA), based on CVA sensitivities
CVA RISK
CAPITAL CHARGE
A FIRST VIEW ON THE NEW
In July 2015, the Basel Committee of Banking Supervision (BCBS)
published a consultative paper on Credit Valuation Adjustment
(CVA) risk to improve the current regulatory framework. In February
2016, the first improvements to this framework were introduced,
based on the December 2015 Quantitative Impact Study (QIS)1
. A
revision of the current framework addresses three issues:
By Quantifi and d-fine
5. www.quantifisolutions.com | 5
To highlight the key differences of current and future
calculation approaches for regulatory CVA risk capital
charges, including the eligibility criteria for using the
different approaches, this article focusses on BA-CVA
and SA-CVA.
New basic approach (BA-CVA)
For banks not able or willing to provide sufficient CVA
sensitivities, a new basic approach, which is closely
related to the current standardized method, should
be used. Improvements to the approach include an
enhancement of the definition of eligible credit risk
hedges.
New SA-CVA
To use SA-CVA the following requirements must be
fulfilled:
1. The calculation of CVA sensitivities for given risk
factors comply with general principles for the
calculation of CVA
2. A methodology for approximating the credit spreads
of illiquid counterparties is applied
3. A dedicated CVA risk management function and
control unit exists.
Qualifying banks need to follow general principles to
calculate regulatory CVA in line with the FRTB-CVA
framework. There are two options for generating
scenarios of discounted exposures: accounting-based
CVA and IMM-based CVA.
One could in principle base CVA sensitivities on add-
on approaches to exposure calculations, which would
mean relying on MTM sensitivities only, although the
consultation paper focuses on Monte Carlo simulation or
equivalent methods that are able to calculate CVA as a
proper hedging cost of counterparty credit risk (CCR).
Sample Calculations
For the sample calculations we selected synthetic
portfolios, including real market data, in order to provide
an impression of potential CVA risk capital charges for
end of June 2015. The sample portfolios consisted of
interest rate and cross currency swaps (USD and EUR).
For the sample calculations we considered the positions
of a medium-sized bank with two different types of
counterparties:
1. Interbank portfolios with investment grade ratings.
2. Corporate client portfolios with investment grade
ratings.
Simulation approach
We implemented a framework that matches the definitions
from the consultative paper and the corresponding QIS
instructions. For sensitivity calculations, a two factor
semi-analytic model was used. Sensitivities were based
on 1 bps tenor shifts for IR and Credit Spread Delta
and relative 1% shifts for FX Delta, as well as relative
parallel 1% shifts for IR and FX volatilities to calculate
Vega sensitivities. All calculated sensitivities were input
into an aggregation tool to compute the CVA risk
capital charges. An important additional input for the
calculation of capital charges is the corresponding risk
weight for each counterparty. We selected investment
grade financial and corporate counterparties, leading
to the following risk weights for the old and new basic
approaches:
Table 1: Risk weights for the old and new approach
Calculation Results
Current Basel III CVA risk capital charge
This charge is calculated as a baseline scenario that
defines the current capital charges for all banks without
an available advanced approach. By applying the same
rating for the financial and corporate counterparty there
was no difference between CVA risk charges for the two
portfolios. For the calculations, credit quality â3â was
assumed with risk weight 1%. The EADs were calculated
according to the Current Exposure Method (CEM) as
described in article 274 CRR and the recognition of
netting was applied according to article 298.
Approach Financial Corporate
CRR 1.0% 1.0%
BA-CVA (option 1) 2.0% 1.5%
BA-CVA (option 2) 6.1% 1.8%
Qualifying banks need to follow
general principles to calculate
regulatory CVA in line with the
FRTB-CVA framework
6. 6 | www.quantifisolutions.com
Conclusion
The most important result is the increase of the
CVA risk capital charge under the new basic
approach (BA-SVA) compared to the current
standardized approach. The impact of the new CVA
risk regulation framework on calculation methods
and infrastructure of banks could be the turning
point for many medium-sized institutes. This is due
to many having only recently started calculating
exposures and CVA within a Monte Carlo simulation
based framework for IFRS 13 compliant accounting.
The SA-CVA method may be an attractive way to
reduce capital charges for CVA risk - provided that
banks are able to install an active CVA desk that is
managing CVA and CVA risk. This would be the first
time the Basel committee recognizes the simulation
methods used for accounting for regulatory
purposes.
Regular calculation of CVA sensitivities is not
something associated with a Monte Carlo installation
for month end IFRS reporting. Therefore, banks
seeking to adopt the SA-CVA method will be
interested in fast and accurate CVA sensitivity
calculations. Research and technology solution
providers are able to provide various approaches
that support automatic differentiation methods,
i.e. Malliavin type derivatives, alternative likelihood
ratio methods or fast GPU implementations. Other
methods for increasing efficiency may include
more effective streaming algorithms and utilizing
dependency graphs for analysis.
As a final point, in addition to the QIS on the CVA
risk capital charge finalized in September 2015, the
current QIS on CVA risk ends 13 May 2016.
Future Basic approach for CVA risk capital charge
Calculations were based on EAD figures derived from
SA-CCR, the new standardized approach effective
January 1 20172
. Considered by regulators as a more
risk sensitive approach than CEM. SA-CCR recognizes
netting and margin agreements in an enhanced way,
and incorporates the IMM multiplier to account for
model inaccuracies. For interest rate swaps without
CSAs the SA-CCR EAD is significantly higher. While CEM
recognizes CSAs only for in-the-money trades, SA-CCR
offers significant EAD reduction for both considered
types of CSA trades, and also takes into account Margin
Period of Risk (MPOR).
Results for the future basic approach show a significant
increase in capital charges for all considered trades,
compared to current Basel III results. It is evident that the
new basic approach significantly increases the capital
charge for both counterparties.
Future SA-CVA charge
Results for the future standardized approach display
different behaviors in the calculation of capital charges.
The most relevant factors are credit spread sensitivities,
especially for the collateralized portfolios. For those
portfolios with cross currency swaps, the FX Vegas are
also of major relevance.
The future SA-CVA capital charge is highly beneficial for
collateralized trades as it is the result of calculations with
real CVA sensitivities. For trades with no CSA, SA-CVA is
generally higher than the current capital charge, whereas
for trades with CSA I and CSA II this order is reversed.
Increasing MPOR from 0 to 20 days makes the trade
riskier, and thus increases both CVA and SA-CVA for
CSA II when compared with CSA I. MPOR also changes
the distribution of sensitivities in credit buckets, which
are dominant in SA-CVA calculations. So whilst the
sensitivity of a credit parallel shift is always higher for
CSA II, some credit bucket sensitivities for CSA II can be
lower than those of CVA I which may lead to a smaller
capital charge.
The impact of the new CVA risk
regulation framework on calculation
methods and infrastructure of banks
could be the turning point for many
medium-sized institutes.
Request a copy:
www.quantifisolutions.com/whitepapers
[1] The internal model approach IMA-CVA that has been introduced in the
consultative paper and both QIS has been eliminated later on. Elimination
has been published in a consultation paper regarding credit risk RWA [4]
[2] Basel Committee on Banking Supervision. The standardised approach for
measuring counterparty credit risk exposures. March 2014.
Written by
Dmitry Pugachevsky
Director of Research, Quantifi
Qian You
Quantitative Analyst, Quantifi
Sebastian Schnitzler
Manager, d-fine, Frankfurt
Stefan Medina Hernando
Consultant, d-fine, Frankfurt
Holger Plank
Senior Manager, d-fine, Frankfurt
Nadja Schuster
Senior Manager, d-fine, Zurich
It is evident that the new basic
approach significantly increases the
capital charge for both counterparties
7. www.quantifisolutions.com | 7
Managing the Cost of Collateral
120 individuals from across the industry
took part in the Quantifi webinar âCost of
Collateral for Clearingâ and were surveyed
on the challenges associated with clearing
and how they plan to address them.
Basel III
Dodd Frank
MiFID III
EMIR
said they want to
implement a new or
upgrade exisitng risk system so that
accurate calculations are made
of respondents
said they are
working on improving
infrastructure and frame-
works to address issues in a
more holistic manner
49%
Main Challenges
⢠Measuring actual and optimal cost
of collateral
⢠Calculating expected cost of
collateral over the life of the trade
⢠Consolidated, transparent reporting
across product/ CCPs/clients
⢠Gaining access to limited business
resources to address the topic
⢠Deciding on counterparty, client
and CCP selection.
What are your business priorities,
related to calculating cost of collateral
for the next 12 to 18 months?
78%of respondents are considering either an
external or a hybrid (buy & build) approach
to collateral management technology
How do you plan to address these deficiencies?
Regulatory reforms
increasing cost of capital
Is your current infrastructure suited
to address challenges of calculating
cost of collateral?
8. 8 | www.quantifisolutions.com
The New Building Blocks
of Financial Technology
by Marc Adler, Chief Architect
A Microservices Architecture
(MSA) allows Quantifi functionality
to be consumed in different ways
Single Solution
The increasing impact of emerging regulations,
market unease and internal pressures have
heightened the attention on risk technology
and operations. With the traditional segmented
approach to risk management no longer suitable,
the application of integrated risk management is
fast becoming best practice. Risk technology is
undergoing its next wave of innovation with a new
breed of single integrated solutions. With a focus
on reducing costs and a desire to consolidate
positions in as few systems as possible, firms
are moving towards a more balanced, business
aligned, and risk based strategy. In an ideal
setting, end-users are favouring trading, portfolio
management, risk, and analytics contained within a
single platform, maintained by a single vendor, with
one point-of-contact for support.
Firms want to minimize the number of different
technologies that are in play, aiming to lower costs
and improve resilience. They want to be able to
upgrade functionality with minimal operational or
organisational interruption in their daily workflow
and to avoid punitive project costs for what is
sometimes limited added value. Technology
providers that provide a single, extensible platform
are becoming increasingly desirable.
Quantifiâs single solution for risk, analytics and
trading provides rich functionality spanning
multiple asset classes. Built on the latest version
of Microsoft .NET and C#, Quantifi is an extensible
platform that provides full front to back office
functionality. Quantifi provides unparalleled
extensibility and scalability across all major
components. This enablest teams responsible
for structuring, hedging, risk management,
and control functions e.g. accounting to take
an enterprise approach to risk management.
In these days of ever-increasing regulation,
managing risk is a difficult task at the best
of times. Over the years, I have seen the pain
firms experience when attempting to integrate
disparate systems and streamline front-to-back
processes. There is evidence that, managed properly,
a holistic approach to risk management pays off. In
contrast, maintaining multiple systems is complex and
consequently can be costly and often inadequate.
9. www.quantifisolutions.com | 9
Quantifiâs intuitive workflow, based on the
Microsoft Workflow Foundation, allows for tailored
trade-lifecycle workflows to be easily configured
and deployed. Quantifiâs APIâs also allows for much
faster integration with other 3rd party or in-house
systems as we are not faced with many of the
issues that older legacy systems encounter.
Quantifi has stayed ahead of the competition
by continuing to make smart investments in new
technology that translate into long-term value
for our clients. We recently invested in data
distribution to adapt to the heavy demands of big
data by utilising a NoSQL database environment.
Our investment has also reshaped how our
architecture serves our clients. Quantifi has shifted
to a microservices architecture to address the
modern business imperatives of speed, agility and
scalability.
Microservices â A Winning Paradigm
A key question we are often asked when engaging
with our clients is âHow can we leverage Quantifi
and realise our value add without significant
infrastructure change?â and the implied onerous
costs that would go with that route.
At Quantifi our philosophy is to look for ways to
best leverage new technologies. A key focus for
the past 12 months has been to make Quantifi
more open and flexible by separating out our
architecture into microservices - essentially small,
API-accessible, single-purpose components. A
microservices architecture promotes developing,
testing, deploying and managing of applications
composed of autonomous self-contained
components built around system functionality,
with each running its own process. This latest
initiative is fundamentally different from the way
traditional applications are designed, developed
and deployed. A Microservices Architecture (MSA)
allows Quantifi functionality to be consumed in
different ways that are most applicable to our
clientâs unique business requirements. Our clients
write applications that interface with Quantifi, and
also seamlessly interface their existing systems with
the data and services that Quantifi provides. This
move to a MSA makes our solution more receptive
to technological evolution and incremental change.
Our individual microservices implement a different
slice of functionality, with each microservice
exposing an API that is accessible through REST
and industry-standard JMS messaging. New
âeventsâ are propagated to a common messaging
infrastructure. Clients can write applications to
call (or subscribe) to these events, and display
the information in a proprietary GUI. This new
architecture enables Quantifi to offer âheadless
risk servicesâ, where customers can send requests
to a service and receive risk results back, all without
requiring a GUI.
Before embracing a new microservices
architecture, the Quantifi development team
carried out acceptance and usability testing by
writing a stand-alone batch scheduling service that
âsnapped inâ to the Quantifi platform. There were
no hard references between the main Quantifi
platform and the scheduling service. Going
forward Quantifi will roll out additional value-
added microservices that can be easily plugged
into the existing system.
s
This move to a MSA makes
our solution more receptive to
technological evolution and
incremental change.
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 (Wikipedia).
10. 10 | www.quantifisolutions.com
Cloud Enabled
Cloud is a key enabler to reduce the complexity
of building, implementing and operating
microservices. Quantifiâs cloud-service fabric helps
connect and reliably serve various services to our
clients, making applications more manageable,
reliable and scalable. Processes within any
organisation need to be able to respond and adapt
to market conditions. This is where a combined
cloud-strategy and MSA comes in. By utilising a
cloud infrastructure, as business processes change,
individual or multiple services can be dynamically
unplugged or replaced as needed. With a cloud
framework, Quantifi can operate within a dynamic
environment.
Responsive to Change
The move to a MSA allows Quantifi to push new
functionality out to clients more rapidly. Some of
the key benefits to our clients include reduced
disruption on their side, a faster time to market
and ultimately an overall lower total cost of
ownership. Improvements to individual services
can also be deployed independently of the rest of
the system and therefore not require a complete
system upgrade. If a problem was to occur, it can
be isolated to an individual component and be
swapped out without impacting other services.
This reduces the operational impact and lowers
the level of support required. Components within
a MSA are loosely coupled, making them more
flexible and responsive to change. This allows
Quantifi to release a different implementation for
each individual service that would interface with a
customerâs internal systems. For example, Quantifi
can release an authorization module that interfaces
with a customerâs own entitlement system. Quantifi
can also release an individual service to consume
data that a customer publishes over their own
messaging system. In general the risk involved in
changing or upgrading a single service is reduced.
Integration
Integration is one of the most important aspects
of technology associated with microservices.
Since microservices operate at a granular level,
Quantifi can offer services on an a-la-carte basis
so clients can select different services. These
chosen services can be seamlessly integrated to
co-exist with a clientâs existing framework to form
a holistic system. This is important for a number of
our larger clients who only want to replace specific
functionality without the need to ârip and replaceâ
their entire system.
Scalability
With a MSA we have gained significant benefits
around reliability, ease of modification and
scalability. Quantifi currently supports horizontal
scalability, using Microsoft HPC compute grid and
vertical scalability using multi-core processing.
Unlike a layered architecture where you have
to scale everything together, with a MSA each
individual component can be scaled separately.
This scalability of services makes it easy for Quantifi
to start up additional instances of a service to deal
with periods of excessive load. Data and processing
can also be load-balanced across the various
instances of a service. This level of scalability also
improves the resilience of the Quantifi platform.
Messaging
Another interesting feature of a MSA is messaging.
JMS-based messaging and REST are two ways that
applications can communicate with the Quantifi
services. These are open standards supported by
different programming languages. A customer can
write an application in C#, C++, Java, or Python.
There is no requirement for a customer to know C#
and Microsoft .NET in order to interface with a
Quantifi service thus avoiding the need to add
additional resources or skill sets. The resulting
financial benefits are overwhelming.
11. www.quantifisolutions.com | 11
Advantages of a MSA
⢠Flexible and responsive to change
as each loosely coupled service is
independent
⢠Easier deployment as each service is
autonomous
⢠High scalability â can be scaled to
enhance performance if demand for a
particular service increases
⢠Easy and flexible integration with minimal
disruption to business processes and
systems
⢠Improves system resilience - failure of a
component can be identified and fixed
without impacting other services
Forward-looking firms are realising
that in the new world, the ability to
achieve scale, reliability and flexibility
will be a winning factor
Quantifi Microservices
Most firms have invested in technology capabilities
to satisfy new practices and regulatory requirements,
however, much remains to be done to operate
efficiently. As traditional systems grow and more
updates are bolted on they become too complex and
inflexible to the extent that they become incompatible
with new technologies and tools. Forward-looking
firms are realising that in the new world, the ability to
achieve scale, reliability and flexibility will be a winning
factor all of which will facilitate a lower total cost of
ownership.
Quantifi is very excited to roll out its MSA as it
radically changes how we build and deliver our
technology. Separating our architecture into
microservices has reshaped how we serve our clients.
A MSA makes initial implementation and future
upgrades simple and low risk. Clients also benefit
from unparalleled flexibility and customisation.
âIn the mid- to long-term, we expect that the smart
evolution, utilization and deployment towards MSA
will be one of the bedrocks for the future evolution of
front office, risk, and compliance systems innovation.
Firms will be able to realize the benefits of reducing
integration expense, increasing asset reuse,
promoting business agility, and reducing business
risk in an environment where the pace of technology
innovation is acceleratingâ.
Cubillas Ding, Research Director, Celent
Marc Adler
Chief Architect, Quantifi
Marc joined Quantifi in 2015.
Before joining Quantifi he was
Chief Architect of the Equities
division of Citigroup, and
formerly the Chief Architect of MetLife. He was
the main designer of Lighthouse, Citigroupâs
first real-time business analytics system, which is
currently being used across the Equities and FX
divisions of the investment bank.
âIn the mid- to long-term, we expect that the smart
evolution, utilization and deployment towards MSA will
be one of the bedrocks for the future evolution of front
office, risk, and compliance systems innovationâ.
Cubillas Ding, Research Director, Celent
12. 012 | www.quantifisolutions.com
Quantifi has been named Best Risk Management Technology Provider at the fourth
annual MENA Fund Manager Fund Services Awards. This is the second consecutive
year Quantifi has received this award.
The MENA FM Fund Services Awards recognise companies that have shown excellence
in providing services to the regions fund and asset management industry during
the course of 2015. Companies are evaluated on financial progress, growth, client
satisfaction, genuine product innovation and adaptability in the face of new client
demand and new regulations. The judging panel comprised representatives from
MENA Fund Manager, leading institutional investors and industry experts.
âWe received a number of strong entries for this yearâs awards from some of the most
highly regarded service providers active in the regionâs asset management industry.
Quantifi emerged as the winner of Mena Fund Managerâs Best Risk Management
Provider award after judges noted the very high standards of service and support for
clients in the regionâ, comments Rob Langston, Editor of Mena Fund Manager.
Impact of the New CVA Risk Capital Charge
The recently published consultative document âReview
of the Credit Valuation Adjustment (CVA) risk frameworkâ
by the Basel lll Committee introduces new approaches
for the calculation of regulatory capital. With focus on
XVA stakeholders including desk traders, risk manag-
ers, finance and technology professionals, this webinar,
co-hosted by Quantifi and d-fine, explores the new CVA
risk framework based on FRTB and SA-CCR.
View webinar: www.quantifisolutions.com/videos
Whitepapers
⢠Cost of Trading and Clearing in the Wake of
Margining
⢠A First View of the New CVA Risk Capital Charge
⢠IFRS 13: CVA DVA FVA and the Implications for
Hedge Accounting
⢠Sell-Side Risk Analytics - RiskTech QuadrantŽ
⢠OIS & CSA Discounting
⢠Buy-Side Risk Analytics - RiskTech QuadrantŽ
Best Risk Management Technology Provider
About Quantifi
Quantifi is a specialist provider of risk, analytics and trading solutions. Our award-winning suite of integrated pre
and post-trade solutions allows market participants to better value, trade and risk manage their exposures and
responds more effectively to changing market conditions.
Quantifi is trusted by the worldâs most sophisticated financial institutions including five of the six largest global
banks, two of the three largest asset managers, leading hedge funds, insurance companies, pension funds, and
other financial institutions across 16 countries.
Renowned for our client focus, depth of experience, and commitment to innovation, Quantifi is consistently first-
to-market with intuitive, award-winning solutions.
enquire@quantifisolutions.com | www.quantifisolutions.com
EMEA +44 (0) 20 7248 3593 NA +1 212 784 6815 APAC +61 (02) 9221 0133
Follow us on