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Pricing and Risk Model Consulting
We implement and validate valuation and risk models, review and document models, independently value structured products. With our in-house software MFVal we model the FX Volatility Surface or Yield Curve based on standard market quotes. Our clients use our library for both model validation and in a live trading environment.
Our clients are banks, asset managers and software companies.
Arbitrage in the Perfect Volatility Surface
FX Derivatives – Model and Product Trends
Hedging FX risk for Indian exporters and importers
Fixed Income and Derivatives
Sample Projects
- Development of an FX volatility surface used by different banks for model validation and front-office pricing
- Front-office documentation of equity derivatives models for a large German bank as a requirement of ECB
- Risk model review for a large French bank as a requirement of the FED
- Development and design of state-of-the art risk concepts for OTC FX, cross currency and interest rate swaps for a large German Exchange
- Implementation of a local volatility based pricing tool using finite differences for exotic equity derivatives for a large bank in Germany
- Implementation of a multi curve framework incorporating OIS discounting, cross-currency and tenor basis for a large German bank
- Backtesting of risk measures for counterpart default events and developing and implementing tests for establishing an regression supported Monte Carlo method for counterpart credit risk purposes for a tier 1 investment bank in London, also covering preparation of documents, model description, test criteria and test framework for submission to model validation
- Independent model validation for Murex SLV model by our own independent implementation, verifying correctness, numerical stability and smoothness of Greeks including reports in Risk Magazine and Derivatives Week
- Independent model review of Murex logical space (interpolation of the FX volatility surface)
- Valuation and risk analysis of embedded currency exchange options in roll-over loans for a German Landesbank
- Development and Implementation of a tailor-made pricing library for live quotes of FX bonus certificates for a leading bank in Germany
- Survey on volatility as investment – crash protection using calendar spreads of variance swaps for Lupus alpha Asset Management
- A statistical survey and simulation of the performance of various retirement savings plans for DWS and AXA.
- Independent vetting of FX structured products for a US based corporate advisory firm
- Syllabi and test question database for the modules FX/FX options and advanced derivatives of the ACI-Diploma
- Implementation of pricing, hedging and backtesting tools for Currency, Equity and Interest Rate Derivatives, including model development, prototyping, processing of market data and integration in risk management systems, e.g. Murex, Front Arena
- EUR-USD volatility smile (dots as input) and the interpolation in MFVal
