Quantitative model validation
A US investment bank required support to validate valuation models across FX, interest rates and equity derivatives portfolios
BCBS 2.5 Comprehensive Risk Measure
CRM required a 99.9% tail risk to be calculated on complex structured assets, arguably one of the most quantitatively demanding…
Trader behaviour analytics
A European investment bank was looking to develop a comprehensive monitoring solution to assess traders' use of Cancel, Correct and…
benchMark – long dated repo pricing validation tool
Our client, a European investment bank, faced regulatory and internal audit pressure to validate their pricing of illiquid long dated…