Consultation Cases
We are ready, and we are better.
Product Research and Development
Lead a client’s team to develop new financial products
Product Requirements:
- Tracking exchange rate market changes closely
- Reducing intraday volatility and impact of news announcement significantly
- Ensuring no arbitrage opportunities
- Average volatility is controllable
- The quantitative model supports high-frequency real-time calculations
Black Box Reproduction and Renovation
Help a client to open the software black box and achieve one-step renovation
Mission requirements:
- Opening the black box of risk quantification software
- Clarifying the algorithm logic and reproducing it to check the calculation accuracy
- Evaluating the validity and rationality of model assumptions according to the mathematical theory, common industry practices and the latest regulatory requirements
- Completing the technical description documents based on the reproduction results, writing model review report, and proposing the model modification plan
- Rewriting all functions used by clients into python-based software packages
- Adding the model modification plan agreed by clients to the rewritten software package
Tools Development
Helping clients develop various quantitative tools
Examples:
- Generating interest rate forecast curve
- Generating exchange rate volatility surface
- Calculating various credit risk measures at the loan portfolio layer
- Calculating various marketing risk measures and counterparty credit risk measures for financial product portfolios
- Development of standard and advanced methods under regulatory requirements
- Filling or generating the correlation matrix for stress testing(requirement: keep the relevance structure of main risk factors)
- Filling historical data of various risk factors, such as interest rates, exchange rates, and exchange rate volatility
Contact Us
Office Address:
Niasstraat 1, 3531 WR Utrecht, the Netherlands.212
Telephone:
(+31) 0633 80 7226