The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

Quantifi Survey Reveals Industry-Wide Move to Overhaul Counterparty Risk Systems

Quantifi, a leading provider of analytics, trading and risk management solutions for the global capital markets, today announced the preliminary findings of its counterparty credit risk survey. Quantifi recently participated in the Global Derivatives and Risk Management conference in Paris and surveyed a cross section of financial firms to gain insight into the various approaches and timing in implementing counterparty risk management processes.

The survey revealed:

• All respondents have or plan to implement major changes in their counterparty risk systems – 41% of respondents plan to complete major changes in 2012 or beyond.
• Nearly one out of three firms are currently implementing or evaluating vendor counterparty risk and CVA systems.
• The largest challenge within existing counterparty risk systems is data management and integration (64%). The next largest challenge is the calculation of CVA sensitivities.
• About 27% of firms actively manage and hedge CVA – 59% of firms use exposure limits and 50% use counterparty selection as their primary method for counterparty credit risk management.
• Sixty-four percent of respondents calculate CVA on new trades and 50% of these use an integrated calculator with netting and collateral.

Rohan Douglas, CEO of Quantifi, comments, “Regulatory and market changes are driving banks to overhaul how they calculate and manage counterparty credit risk. The standard is being set by the largest global banks which now actively manage counterparty risk, calculate sensitivities, and price CVA for new trades using integrated solutions based on netting and collateral agreements. Given the portfolio level scope and the analytical complexity, existing technology infrastructures have constrained many banks from achieving best practices.”

David Kelly, Head of Credit Products, Quantifi, notes, “There isn’t necessarily a ‘one size fits all’ approach to counterparty risk management due to the unique aspects of bank’s respective portfolios and supporting systems. Many firms are choosing vendor systems that already embed industry best practices and offer a faster and more cost-effective solution.”

Quantifi’s offering in this space, Quantifi Counterparty Risk, is a high-performance platform for managing counterparty credit and market risk that is flexible, scalable, rapid to implement, and intuitive to use. Incorporating high-performance, multi-factor Monte Carlo simulation, coupled with our powerful grid computing architecture, Quantifi Counterparty Risk can support even the largest most complex portfolios, including those with significant wrong-way risk or volatility. Reflecting industry best-practice, Quantifi Counterparty Risk supports calculation of CVA sensitivities and incremental deal pricing, enabling institutions to proactively manage counterparty risk and address regulatory and accounting requirements.

Related content

WEBINAR

Upcoming Webinar: Sanctions – The new pre-trade challenge for the buy-side

Date: 22 September 2021 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes Sanctions screening at the security level is a relatively recent requirement for the buy-side. It dives deeper than traditional KYC and AML screening and is immensely challenging as firms must monitor frequently changing sanctions lists, source up-to-date sanctions data...

BLOG

How to Use Chatbots and Collaboration Tools to Improve Automation and Deliver On-Demand Data

Digital transformation in the financial services sector is forcing a rethink in how financial institutions access the data they need to support trading and investment activities. While traditional bulk data distribution arrangements are well suited to large sell-side institutions, they can be costly and lack flexibility for firms from large Tier 2 sell-sides down to the...

EVENT

TradingTech Summit Virtual

TradingTech Summit (TTS) Virtual will look at how trading technology operations can capitalise on recent disruption and leverage technology to find efficiencies in the new normal environment. The crisis has highlighted that the future is digital and cloud based, and the ability to innovate faster and at scale has become critical. As we move into recovery and ‘business as usual’, what changes and technology innovations should the industry adopt to simplify operations and to support speed, agility and flexibility in trading operations.

GUIDE

Entity Data Management Handbook – Seventh Edition

Sourcing entity data and ensuring efficient and effective entity data management is a challenge for many financial institutions as volumes of data rise, more regulations require entity data in reporting, and the fight again financial crime is escalated by bad actors using increasingly sophisticated techniques to attack processes and systems. That said, based on best...