Quantifi, a provider of risk, analytics and trading solutions, today announced that Oesterreichische Kontrollbank Aktiengesellschaft (OeKB) has extended its usage of Quantifi for enterprise market risk. Established in 1946, OeKB is Austria’s main provider of financial and information services to the export industry and capital markets.
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.