Quantifi's Software Addresses Regulatory Scrutiny of OTC Markets

Quantifi released the latest version of its pricing and risk analysis software with new features to address market, operational and regulatory changes.

Commenting in today’s release, Rohan Douglas, CEO of Quantifi, stated, "With the passage of the Dodd-Frank bill in the US and the potential impact of Basel III, the OTC markets are adapting to increased volatility and regulatory scrutiny. Consequently, the need for accurate, robust, intuitive tools for valuation and risk management has never been higher. V9.4 is a major release and enables our clients to effectively and proactively address rapidly changing market, operational and regulatory requirements."

The new Version 9.4 includes expanded asset coverage including broader support for interest rate derivatives, inflation products, global bonds, convertibles and CLOs (collateralized loan obligations). It also includes features that support recent changes to the over-the-counter markets including ‘dual curve’ yield curve construction and new Asian standardized CDS (credit default swap) contracts. Performance enhancements include ‘smart’ load balancing and new approaches that improve speed and storage requirements for very large flow trading books.

Usability improvements include a new wizard for automating rate resets and a new application that automates mapping of loan information from trustee reports.

Infrastructure improvements including a full audit trail that efficiently captures all changes to trade and risk information.

V9.4 also incorporates Quantifi’s credit valuation adjustment and counterparty risk solutions, namely Quantifi CVA and Quantifi Counterparty Risk. These solutions offer clients the ability to correctly price and manage counterparty and market risk.

Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio