Oesterreichische Kontrollbank Aktiengesellschaft (OeKB), Austria’s main provider of financial and information services to the export industry and capital markets, is extending its use of Quantifi, the leading risk, analytics and trading solution.
Established in 1946, the specialized bank, which selected Quantifi in 2015 as its front-to-middle office solution for counterparty risk and IFRS 13, has now extended its usage to include market risk solutions.
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. Previously, OeKB used a legacy system to calculate HVaR on a quarterly basis. Replacing this legacy system with Quantifi’s single solution has helped the bank reduce cost and generate more accurate, timely results.
Commenting on the company’s use of Quantifi for market risk, Stefan Strehle, Director of Treasury at OeKB, said:
With Quantifi now live for market risk, OeKB has a consolidated view of credit and market risk within a single integrated solution. Quantifi is a strategic part of the IT 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.
Quantifi sees OekB’s use of its market risk functionalities as proof of confidence and commitment:
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.
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. — Roland Jordan, Head of EMEA Sales at Quantifi.
Key features of Quantifi’s market risk functionalities 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. Quantifi supports a full complement of market risk measures along with complex scenarios and stress tests.