### Balance sheet modelling

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

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 (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

Big Data collection, analytics

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

### Pricing of Derivatives, e.g. Structured products

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
- Spot data (interest rates, forex, equity, credit, commodity)
- history accumulator or client buys bulk of needed history

- Option data
- define IR-curves (funding and libor-type)
- deliver implied volatilities (IV) given option definitions (payoff), and spot data
- translate term sheet of derivative contract into payoff defined mathematically
- choose underlying how we model the underlying stochastic process and calibrate it to the IV surface/cube
- develop pricer (calculator) upon underlying stochastic process and payoff

- Spot data (interest rates, forex, equity, credit, commodity)