Project examples

/see also blog articles to get more impressions/

Balance sheet modelling

Financial projections:
- Project - startup, investment
- cross border trading involves FX-risk, which we can estimate
Estimation of Risk attached to Receivables (credit risk)
Estimation of Risk due to fall of your market (business risk)

Contract Pricing, Risk of Portfolio

Risk/pricing models (e.g. FRTB models, Libor replacement or Brexit reallocation)
- development, validations, system checks (data stream), documentation
Development of Risk Models (with link to risk limits), Capital, XVA

Realtime systems (e.g. for algotrading)

Realtime systems:
- data feed, algorithmic interaction, like automatic trading bot
- Price, various metrics monitoring
Validation of algorithmic trading chain (e.g. see EBA, PRA directives)
- Algorithmic stability in response to external market signals, flash crash, disruption of data feed, positive (amplified feedback effects) etc etc
- Checks of robustness of technical implementation
- PnL generation (part of audit)
- Black box backtesting

Big Data collection, analytics

Dedicated databases (Oracle, MySQL, HDF5, sqlite), structured data

Pricing of Derivatives, e.g. Structured products

payoff translation into the model. choice of underlying process suitable for specific asset class
starting from simplest approach (e.g. Monte Carlo), make it working and then accelerate (numerical, AI, ...)
organize sourcing of market data, imply volatilities, build curves, surfaces, cubes
validate existing models, both, theoretical soundness and implementation
connect to databases
Pricer development

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