-
350K
annualized cost savings
-
5x
increase in annual bespoke hedging pitches
-
Scalable
framework
CLIENT CHALLENGES
- A large European investment bank’s client solutions group – providing hedging solutions to leading global corporations using their derivative products – was looking for offshore support in the following areas:
- Implementing derivative pricing models and optimal capital structure analysis using the Monte Carlo simulation framework to offer bespoke hedging solutions
- Simulating interest rates, FX rates, and commodity prices to arrive at expected cash flows for derivatives (IRS, CCS, Caps, Floors, FX Forwards, Commodity Forwards, etc.) and synthetic positions
- Providing additional bandwidth to accommodate increasing demand from clients and scaling up solution potential using sophisticated quantitative modeling
OUR APPROACH
- Assigned a team of 4 math modellers and 2 technology resources
- Built a Monte Carlo simulation framework for the derivative pricing models
- Developed, tested and implemented the framework
- Provided necessary training to the bank’s users
IMPACT DELIVERED
- Helped the bank increase annual bespoke hedging pitches to 150 in 2015 from 30 in 2013
- Helped the bank add interest rate, forex and commodity hedging to its suite of services by providing technical assistance
- Enabled new users to operate with minimal training given scalable framework
- Provided necessary flexibility to the bank’s resourcing strategy
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