In 2015, OeKB selected Quantifi as its front-to-middle office solution for counterparty risk and IFRS 13. The bank has recently gone live on Quantifi for market risk. The key variable in the measurement and management of OeKB’s market risk is economic capital which is calculated using Value at Risk (VaR) over a one-month time horizon. OeKB was previously calculating HVaR on a quarterly basis using a legacy system. Replacing this legacy system with Quantifi’s single solution has helped the bank reduce cost and generate more accurate, timely results.
“With Quantifi now live for market risk, OeKB has a consolidated view of credit and market risk within a single integrated solution,” comments Stefan Strehle, Director, Treasury, OeKB. “Quantifi is a strategic part of the I.T. infrastructure at OeKB. On a daily basis, the risk team is generating trade valuations for EMIR reporting, as well as calculating collateral balances for margin calls. The team also calculate accounting XVA for regulatory reporting and use Quantifi’s VaR metrics for monthly reports to OeKB’s regulator,” continues Stefan.
Quantifi supports a full complement of market risk measures along with complex scenarios and stress tests. Key features include sensitivities to all market factors, comprehensive “what-if” analysis, regulatory stress tests, such as HVaR, and tail measures like expected shortfall. HVaR results are validated using multiple methods, with extensive back-testing using 15 years of historical data and 100 day rolling window.
“OeKB extending its usage to market risk is a measure of their confidence in Quantifi. It also demonstrates our commitment to partnering with clients to provide a flexible, extensible solution,” comments Roland Jordan, Head of EMEA Sales, Quantifi. “Increased volatility and market risk, along with a move towards standardised products and central clearing have transformed best practice for risk management across all OTC products. As the market continues to evolve, we are pleased clients recognise the benefits of using Quantifi and how we can support their business for the long term,” continues Roland.
# # #
Notes to Editors
Quantifi is a provider of risk, analytics and trading solutions. Our award-winning suite of integrated pre and post-trade solutions allow market participants to better value, trade and risk manage their exposures and respond more effectively to changing market conditions.
Founded in 2002, Quantifi is trusted by the world’s 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 40 countries.
For further information, please visit www.quantifisolutions.com
Oesterreichische Kontrollbank Aktiengesellschaft (OeKB) is Austria’s main provider of financial and information services to the export industry and the capital market. True to its mandate to support the Austrian economy, OeKB has served trade and industry since the institution’s founding in 1946.
OeKB offers a wide range of specialised services to companies in all sectors, including financial institutions and Austrian government agencies. OeKB acts as a central hub in the markets, operating impartially and in accordance with its sustainability policy. Its shareholders are commercial banks located in Austria.
For further information, please visit www.oekb.at