Trade compression quantile

29 Sep 2019 Trade compression aims notably at reducing certain capital whereas the MVA can be computed based on quantile regression for the 

Quantile’s interest rate compression service reduces gross notional and trade count while preserving the overall risk profile and valuation. Powered by unbeatable algorithms and backed by unmatched quantitative analytics, we clean portfolios, increase efficiency and improve returns. Compression “Quantile has made a definitive mark in compression, powering remarkable efficiencies for its clients and demonstrating its capability to execute ambitious plans for further growth” Faster. Cleaner. Leaner. Editor, Global Capital Quantile has compressed over $4.6 trillion in a single EUR run, a new record . We are thrilled to announce that we have compressed over $4.6 trillion in a single run at LCH SwapClear, a new record for Quantile. Executed on Friday 14th February, the run saw 22 market participants compress EUR with exceptional results. Quantile has become the first compression service to terminate five currencies in a single run at LCH SwapClear. Executed in November, our optimisation engine saw multiple market participants seamlessly compress USD, CAD, GBP, AUD and NZD in the same run, demonstrating new levels of compression efficiency. Quantile Technologies Voted Global Compression Service of the Year by GlobalCapital London, 26th September 2019 - Quantile Technologies (Quantile), a leading provider of multilateral compression and optimisation services for financial markets, has been named the ‘Compression Service of the Year’ in the GlobalCapital Global Derivatives Awards 2019. Trade compression is a way to reduce the number of outstanding contracts (and therefore their gross notional amounts) but keep the same economic exposure. This can be done on a bilateral basis where firms cancel offsetting contracts in their own portfolios or a multilateral basis where a group of market players can tear up offsetting trades with each other within agreed parameters. Compression can be done for all or part of the notional amounts concerned. Quantile, a start-up derivatives risk optimisation firm headed by former International Swaps and Derivatives Association chairman Stephen O’Connor, was appointed an approved compression service provider on LCH’s SwapClear service on October 9, and completed its first compression run on October.

Compression reduces the number of trades in our members' portfolios. The result is a cleaner portfolio, less complexity and the potential to have some relief in terms of regulatory capital requirements. Quantile Technologies Limited.

2 Apr 2016 La notion de quantile conditionnel, ou régression quantile, a tout As above mentioned, this tool was first used by engineers in signal compression, but it was This bias-variance trade-off is standard in the selection of a  12 Jun 2017 Average trade size 30 times industry dark pool average. Page 37. 0. 500. 1,000 Partnership with LCH, TriOptima, Quantile and others. Packaged trades clearing, compression services and LCH SwapAgent. Regulatory  Quantile becomes the first compression service to terminate five currencies in a single run at LCH SwapClear Quantile’s interest rate compression service reduces gross notional and trade count while preserving the overall risk profile and valuation. Powered by unbeatable algorithms and backed by unmatched quantitative analytics, we clean portfolios, increase efficiency and improve returns. Compression “Quantile has made a definitive mark in compression, powering remarkable efficiencies for its clients and demonstrating its capability to execute ambitious plans for further growth” Faster. Cleaner. Leaner. Editor, Global Capital Quantile has compressed over $4.6 trillion in a single EUR run, a new record . We are thrilled to announce that we have compressed over $4.6 trillion in a single run at LCH SwapClear, a new record for Quantile. Executed on Friday 14th February, the run saw 22 market participants compress EUR with exceptional results. Quantile has become the first compression service to terminate five currencies in a single run at LCH SwapClear. Executed in November, our optimisation engine saw multiple market participants seamlessly compress USD, CAD, GBP, AUD and NZD in the same run, demonstrating new levels of compression efficiency.

Econometrica, Vol. 84, No. 2 (March, 2016), 809–833 IV QUANTILE REGRESSION FOR GROUP-LEVEL TREATMENTS, WITH AN APPLICATION TO THE DISTRIBUTIONAL EFFECTS OF TRADE BY DENIS CHETVERIKOV,BRADLEY LARSEN, AND CHRISTOPHER PALMER1 We present a methodology for estimating the distributional effects of an endoge-

Quantile Technologies Voted Global Compression Service of the Year by GlobalCapital London, 26th September 2019 - Quantile Technologies (Quantile), a leading provider of multilateral compression and optimisation services for financial markets, has been named the ‘Compression Service of the Year’ in the GlobalCapital Global Derivatives Awards 2019. Trade compression is a way to reduce the number of outstanding contracts (and therefore their gross notional amounts) but keep the same economic exposure. This can be done on a bilateral basis where firms cancel offsetting contracts in their own portfolios or a multilateral basis where a group of market players can tear up offsetting trades with each other within agreed parameters. Compression can be done for all or part of the notional amounts concerned. Quantile, a start-up derivatives risk optimisation firm headed by former International Swaps and Derivatives Association chairman Stephen O’Connor, was appointed an approved compression service provider on LCH’s SwapClear service on October 9, and completed its first compression run on October. Portfolio Compression Portfolio compression is a risk reduction technique in which two or more counter- parties terminate some or all of their derivative contracts and replace them with another derivative whose market risk is the same as the combined notional value of all of the terminated derivatives. Duo is a compression service that is all about partnership. LCH identifies a pair of Clearing Members that have mutual compression opportunities with each other. The counterparties then work together select matching trades, even if those trades were not originally identified by LCH to those Clearing Members. Quantile Technologies Voted Global Compression Service of the Year by GlobalCapital. London, 26th September 2019 - Quantile Technologies (Quantile), a leading provider of multilateral compression and optimisation services for financial markets, has been named the ‘Compression Service of the Year’ in the GlobalCapital Global Derivatives Awards 2019.

3 Dec 2018 Risk Awards 2019: Compression provider has been quick to respond to chance of finding an offsetting trade to enable a tear-up of contracts.

12 Sep 2013 Quantile calculations just involve sorting the data, which can be easily parallelized. and the summarized data represent an average compression ratio of In effect, we are trading off increased ETL effort against less storage  2 Apr 2016 La notion de quantile conditionnel, ou régression quantile, a tout As above mentioned, this tool was first used by engineers in signal compression, but it was This bias-variance trade-off is standard in the selection of a 

1 Apr 2012 Quantile regression (QR), first introduced by Koenker and Bassett (1978), is a for spatial quantile-based regression analysis, with a trade-off regarding robust statistical inference. Compressed Mortality File, 1999–2002.

We've eliminated USD trillions of gross notional of OTC derivatives through compression and billions of dollars in margin through our counterparty risk reduction  3 Dec 2018 Risk Awards 2019: Compression provider has been quick to respond to chance of finding an offsetting trade to enable a tear-up of contracts.

12 Sep 2013 Quantile calculations just involve sorting the data, which can be easily parallelized. and the summarized data represent an average compression ratio of In effect, we are trading off increased ETL effort against less storage