Consultancy

WHAT WE CAN DO

  • 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

EXPERIENCE and KNOWLEDGE

  • 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;