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.
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.Request a call
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