Providing analysis for making informed financial decisions across the financial institutions and corporates sectors
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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:
How to define client risk appetite?
What is an appropriate and suitable product in terms of exposure and payoff?
When complexity adds value?
What is the optimal product tenor?
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:
How to stress test the note for market and actuarial risks?
How to specify the minimum risk adjusted yield required?
How conservative the investor needs to be in the risk calculations?
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:
When it makes sense to suggest to clients to sign a CSA?
What is the optimal threshold?
How the product mix that the client transacts affects CSA negotiations?
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:
What stress factors to apply to the securitised assets for investigating the equity tranche expected duration and corresponding interest rate that the bank may afford to pay?
How to take into account the non-normality of the risk factors?
What variance/covariance matrix inputs to use?
For answers to the above questions please contact us.
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