
Providing analysis for making informed financial decisions
across the financial institutions and corporates sECTORS


Sample projects
Developing targeted structured products
Yield enhancement strategies for cash rich investors require a very good understanding of the client's investment objectives. Typical challenges include:
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How to define client risk appetite?
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What is an appropriate and suitable product in terms of exposure and payoff?
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When complexity adds value?
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What is the optimal product tenor?
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How to reconcile market expectations with past performance?
Optimising yield received on US XXX life insurance collateral note
Post credit crunch LOCs as a means of funding regulatory capital requirements on XXX business have lost their appeal. The provision of a securitised guarantee in the form of a collateral note was developed as a replacement of LOC funding. Typical challenges to the bank providing the note include:
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How to stress test the note for market and actuarial risks?
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How to specify the minimum risk adjusted yield required?
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How conservative the investor needs to be in the risk calculations?
For answers to the above questions please contact us.
Maximizing risk adjusted derivative revenue under Basel 3
Under Basel 3 banks are required to fully account for counterparty and funding costs on non-collateralised trades. Typical challenges include:
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When it makes sense to suggest to clients to sign a CSA?
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What is the optimal threshold?
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How the product mix that the client transacts affects CSA negotiations?
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What is the cost of providing multi-currency facilities for collateral purposes?
Optimising interest paid on CASA deposits
Equity tranches of securitisations,
although are deposited on a demand account, have an expected duration that is greater from overnight. Typical challenges include:
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What stress factors to apply to the securitised assets for investigating the
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equity tranche expected duration and corresponding interest rate that the bank may afford to pay?
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How to take into account the non-normality of the risk factors?
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What variance/covariance matrix inputs to use?