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AcadiaSoft and Quantile pilot risk optimisation service

First Published 10th February 2017

Quantile Technologies and AcadiaSoft complete first large-scale risk reduction pilot exercises. JP Morgan, Goldman and Citi among participants.

Chris Walsh, AcadiaSoft

Chris Walsh, AcadiaSoft

Following the announcement of their partnership in November 2016, Quantile Technologies and AcadiaSoft have completed their first large-scale risk reduction pilot exercises.

Participants, including Citi, Credit Suisse, Deutsche Bank, Goldman Sachs, HSBC, J.P. Morgan, Nomura, Royal Bank of Scotland, Standard Chartered, and UBS achieved material reductions in initial margin requirements as a result of the exercises, scheduled over recent weeks. By leveraging the existing AcadiaSoft infrastructure and standardized data set, users were able to optimise their portfolios without needing to provide additional data.

The initial margin requirements for banks trading OTC derivatives are determined via the AcadiaSoft Hub using the ISDA SIMM model. The integration of Quantile's risk optimisation technology into the Hub reduces risks between market participants by delivering optimised portfolio rebalancing strategies as an integral part of the margin process. The result is more efficient capital management and optimised initial margin requirements.

Chris Walsh, CEO of AcadiaSoft said: "Exposures can now be optimised as a seamless, systemic part of the margin infrastructure fundamentally improving how risk is managed across the industry. The recent pilots were an important step and we look forward to scaling up activities over the coming weeks and months."

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