Expertise & Services
AREAS OF EXPERTISE
Risk Management & Governance
✔ Risk factor decomposition
✔ Stochastic risk factor generation
✔ Risk metrics implementation
✔ Risk capital determination
✔ Model validation
✔ Stress Testing
✔ Liquidity forecasting
✔ Single deal assessments
✔ Risk policy design
✔ Internal control system set-up
FINANCIAL ENGINEERING
✔ Price forward curve and yield curve generation
✔ Volatility surface parameteriztions
✔ Stochastic differential equations
✔ Distribution fitting
✔ Adequate model choice and implementation
✔ Parameter estimation and model calibrations
✔ Closed-form and numerical valuation techniques
Hedging and Structuring
✔ Enhancement of position management systems
✔ Greek implementation and reporting
✔ Determination of optimal hedging strategies in incomplete markets
✔ Backtesting
✔ Design of effective risk transfer products
What to expect from us
Service workflow
Our services are typically allocated into the following components