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Investment banks are moving away from the ‘innovate and price’ model to face up to new business imperatives – including fast calculation of capital, collateral calls and netting.

Traditional business models are being challenged by the enhanced integration of market, credit, counter-party and collateral data. To maintain competitive advantage banks must increasingly operate as a single integrated machine and optimise their use of scarce resources throughout the organisation.

We can partner with you in the design and delivery of:

  • Cross-asset class model choice and assumptions.
  • Enhanced model governance and procedures.
  • Implementation specifics such as data quality, choice of risk factors and use of proxies.
  • Stress tests, scenario analyses and back-testing approaches, including Basel III: Fundamental review of the trading book (FRTB) and CCAR.
  • Efficient numerical methods, orchestration and re-factoring to enhance model performance to reduce TCO.
  • Independent model validation (Vanilla, Monte Carlo).
White paper

Cost Attribution Methodology

Costs on the firing line: why qualified decisions require a radical shift in front-office thinking. By Jason McIntosh and Steve White
White paper

Pricing discrete barrier options and credit default swaps under Lévy processes

Discretely monitored barrier options under Lévy models, including single and double barrier options and first-touch digitals, as well as CDS and defaultable bonds. By Marco de Innocentis and Sergei Levendorskiia

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