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
Hardcore Modeling Expert Team
Combining data analysis and statistical theory to translate customer requirements into mathematical problems
Additionally building predictive models (including machine learning methods) for various arbitrage tests
Designing, screening and testing the best solutions based on financial mathematics theory and more than ten years of industry R&D experience
Considering the efficiency of the algorithm to ensure the actual computing efficiency of the model at the same time
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
Professional Quantitative Development Team
Composting structures targeted at clients’ transactions
Combining with more than 10 years of first-hand experiences in modeling, review and development
Renovating the software from start to end, with no more software usage fees and low subsequent maintenance costs
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
Process demonstration
Data proxy, completion, and cleaning
Financial market transactions, risk controlling tools
Risk quantification and allocation by portfolio layer