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The focus of trading activity is shifting towards straight-through processing while needing to understand and reduce cost and complexity.

In particular, for a flow business to excel, frictions must be eliminated, enabling products and services to be highly integrated. We understand the front to back changes required to create scalable and transparent business process.

We work with front-office teams on:

  • Trader interfaces and workflow, eCommerce, OMS design.
  • Operating models for CVA and costs rationalisation.
  • Improving capital usage through enhanced modelling and attribution.
  • Correctly pricing market and credit risk for new regulations.
  • Margining and collateral management models.
  • Cost attribution models to accurately assign operational and financial costs.
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
White paper

Taking risk to the top office

Following the billions of dollars in subprime writedowns, banks continue to look at how best to organise the risk management function. Steve White makes a far-reaching proposal. By Steve White

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