Derivatives

Advisory and consulting services related to derivatives model developments, risk management, and model validation. 
 
  • Model 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. Some of our tools are described on one of our GitHub repository pages (muRisQ-ir-models).
    • 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. Some of our tools related to LIBOR fallback and LIBOR discontinuation are described in our Fallback Transformers pages.
    • 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 model: replication, attribution, MVA
  • 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. Some developments related to IM and MVA are described in our a blog on MVA and cost of funding (see also other IM related issues at the bottom).
    • 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