Consultancy

Financial Modelling and Algorithms for trading, investing, insuring and financial risk

• Balance Sheet projections (scenarios)

• Pricing (implementation, validation)

• Risk (implementation, validation)

• Reporting (Risk, PnL)

• Volatility builder:

  • Implied volatility surface

  • Local Volatility surface

  • Monte Carlo: single, multiple (correlated) assets

  • Historical Data Base

Realtime systems

Data collection and analytics

Project Management

Global Markets, Market Risk, Credit Risk, Liquidity:

• Basel requirements (banking regulation)

• Model Development

• Model Validation:

  • Theoretical

  • Backtesting / Model vs Reality

  • Regulatory compliance

• Risks and Capital (Regulatory and Economic: RegCap and ECap)

Pricing Models:

• Vanilla (Linear and Options), Exotic, Hybrids

• X Valuation Adjustments (XVA: CVA, DVA, MVA)

Asset classes:

• Interest Rates, Fixed Income, FOREX, Equity, Credit, Commodity, Mortgages, Cryptocurrencies;