Client

Global investment bank

Category

Quantitative consulting

Description

This project demonstrates how deep experience and knowledge of our team enables regulatory projects to be completed in a very tight schedule and high visibility

Profile
  • One of the largest financial institution in the world
  • Sophisticated setup and complex products range
  • Cross asset derivatives in scope
Challenges
  • Client had a very tight delivery schedule to deliver the results of the model validation exercise
  • Various trading desks using different risk calculation frameworks and methodologies which had to be unified and integrated into a common SIMM framework
  • Various regional regulators involved during the approval process due to worldwide client local presence
Project Delivery
  • Our team analysed the firmwide setup of risk sensitivities and assessed their implementation
  • Our team made sure the model assumptions and uncertainties were solid and validated
  • Our team implemented independent cross checks and models to assess the usage of model inputs by different trading desks
  • Our team performed deep analysis of all model assumptions, limitations and outputs.
Features
  • Flexible, sustainable and quick Delivery
  • Fixed budget
  • Quality Solutions
Technologies
  • Python
  • Data Analytics
  • Pandas
  • Power BI
  • Microsoft SQL
  • AWS S3
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