Expertise

• Full service C++ & Python application development.
• Stochastic modelling, AI & algorithm development.
• Rates, inflation, repo /borrow, forward, dividend and default probability curve construction. Event probability estimation. Correlation and volatility surface construction. Stochastic parameter model implementation and calibration.
• Industrial grade fast intraday ISDA compliant x-asset (equity, rates, FX, crypto, commodities, credit, inflation) x-product (d1, vol, exo) pricing. PDE, martingale and machine learning based valuation.
• Derivatives payoff scripting.
• Independent Model Review (IMR).
• Independent Price Verification (IPV).
• Valuation adjustment (CVA, FVA, KVA).
• Risk metrics (PFE, RWA, ES; drawdown, Sharpe), sensitivity Greeks & P&L attribution. Backtesting & scenario analysis.
• Internal Rating Based Approach (IRB) for capital optimisation and accurate risk management.
• IFRS 9 compliant financial instrument accounting.
• Portfolio & book management, hedging & optimisation.

Engagement

To schedule a free 30 min consultation, please reach out on .

Knowledgebase