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)

  • 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
    • Risks and Capital (Regulatory and Economic)
  • Pricing Models:
    • Vanilla (Linear and Options), Exotic, Hybrids
    • X Valuation Adjustments (XVA)
  • Asset classes:
    • Interest Rates, Fixed Income, FOREX, Equity, Credit, Commodity, Mortgages, Cryptocurrencies;