Derivative Structuring for a Europe Based Investment Bank

  • 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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