Nordic investment management firm KLP Kapitalforvaltning AS (KLP Asset Management) is using Quantifi's technology for risk management and the pricing of interest rate derivatives.
KLP Asset Management, which has about 227 billion Norwegian kroner ($39.8 billion) in assets under management, will now be able to price interest rate derivatives using a dual-curve environment, a factor that portfolio manager Arne Løftingsmo says was critical in choosing the vendor.
"Multiple curve environments have become the market standard and Quantifi's sophisticated and comprehensive set of yield curve-building functionality matches this new standard," says Løftingsmo. "Pricing must be accurate and performance for calculating sensitivities should be fast. Quantifi excelled in both these areas. The benefit of using Quantifi is very apparent to the interest rate derivatives team as we now have the ability to make better decisions, place better trades and enhance risk management, which ultimately improves return for our clients."
James talks about his trip to Chicago and some of the interesting topics that came up (including a look at disaster recovery demands). Then Anthony and James touch on ISDA's initial margin rules, with Phase 3 going live next year.Subscribe to Weekly Wrap emails