Project references Project Summary Added Value
Designed an independent pricing pricing verification system for the World Bank, Singapore Built an LMM-SABR model of interest rates and pricing Monte Carlo engine adapted for specific long dated interest rate path dependent options and structures Independent pricing system that can be easily replicated for other trades
Designed a data quality control methodology for Credit Suisse, London Replaced existing data treatment systems within the risk department with a new methodology able to identify data errors and quantify data quality Provided the client with an efficient automated methodology consistent with FRTB guidelines
Run a two-day model validation training course in collaboration with Marcus Evans An interactive model validation training course covering model risk from pricing to risk and data validation with practical case studies in all areas, to an international audience both in London and Stockholm Provided the delegates with ideas and techniques with which to deal with complex model validation problems

Provided an independent opinion on the use of Gaussian Copula to simulate the loss distribution of a CPDO in collaboration with FTI Consulting, London Discussed the mechanisms of a CPDO, and reviewed various CPDO rating models. Carried out a simulation of the loss distribution of a CPDO using a Gaussian Copula and Extremely Distributed Defaults Provided an independent opinion and a strategic review of the opposing expert’s evidence
Advised a large corporate on the currency composition of its debt after an M&A event Analysed the ratios used by credit ratings agencies to rate corporates, and consequently advised on the optimal debt composition such as to minimize downgrade risk Provided the client with an in-depth understanding of the way debt composition can affect the credit rating of a corporation
Advised a pension fund on Asset-Liability mismatch Used a Principal Component Analysis to put in place a portfolio of interest rate swaps and CDS such that the mismatch between the assets and the liabilities of the pension fund are offset Client gained understanding of how to build a hedging portfolio in the context of Asset-Liability management

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