Derivatives

  • Developments
    • Multi-curve and collateral framework. Collateral discounting, impact of CSA, multi-curve calibration, new benchmarks, cheapest-to-deliver
    • Interest rate models: Term structure models, smile, negative rates, stochastic spreads.
    • Exchange traded instruments: Development of exchanged traded instruments, detailed term sheet, regulatory approval, CCP's risk management procedures, new products design.
    • Margin methodologies: Variation and Initial Margin methodologies design. Review and implementation of methodologies used by clearing houses/CCPs (replication). Bilateral margin methodologies (uncleared margin rules).
    • Simulation: Model implementation for efficient simulation, xVA underlying models 
    • Benchmarks: valuation of instruments indexed on new benchmarks, benchmarks discontinuation, LIBOR fallback analysis and solutions, overnight benchmarks (RFR) transition, valuation impacts, risk management, ALM
    • Code: Large quant libraries available to price and risk manage interest rate books, Algorithmic Differentiation (AD)
  • Risk management
    • Hedging strategies
    • Value-at-Risk
    • Variation Margin efficient implementation
    • Initial margin models
  • Model validation
    • Flow instruments: Multi-curve framework, collateral impact, CSA review.
    • Term structure: Multi-factors models; stochastic spreads.
    • VaR: Parametric, historical, Monte Carlo.
    • Smile: Swaption, negative rates, extrapolation.
    • White paper: Independent assessment of new products and services, benchmarking.
  • Regulatory impacts
    • Assessments: Impact assessments for derivative users.
    • Bilateral margins: Quantitative impacts of uncleared margin regulation (UMR), bilateral margin methodologies, ISDA SIMM™ computations.
    • Compression: Exposure reduction, portfolio compression, margin optimization
    • Business strategy: cleared v uncleared OTC derivatives, cost of trading, access to market infrastructure
    • Regulatory consultative documents: Comments on consultative documents.
    • Negotiation: Negotiations for efficient access to markets