Our financial markets expertise has enabled us to support our clients with delivery of a number of highly complex quantitative modelling solutions.
Pragmatic delivery of complex quantitative solutions
Our team have extensive experience in supporting the delivery and validation of complex derivatives pricing and risk models. In addition, we have supported the implementation of complex regulatory models, leveraging our markets experience.
Technical expertise applied
The complex methodologies used to price and risk manage derivatives portfolios require the development and implementation of quantitative models. The use of internal model approaches to calculate regulatory capital has increased the need for optimised quant models.
Our quantitative experience has allowed us to support a number of model development and validation exercises on behalf of our financial services clients. The pragmatic modelling solutions developed ensured our client’s applied best industry practice in implementing quantitative models.
Enhancements to internal model approaches resulted in significant RWA savings for our clients.