Sample projects

Derivative charges minimisation

Post credit crunch banks explicitly charge for counterparty and funding costs on non-collateralised trades. Corporates need to do a cost benefit analysis in deciding if it is beneficial to collateralise or not the derivatives portfolio. Typical questions include:

  • How the corporate and bank credit ratings affect CSA negotiations?
  • How derivatives transacted affect the optimal threshold?
  • Does it make sense to assign different trades to different banks?
  • On multi-currency CSA facilities how to optimise collateral posted?

FX hedging optimisation

FX risk is a major concern for most corporates. Managing this risk entails a number of challenges such as:

  • When is it optimal to use vanilla and when exotic derivatives for hedging?
  • Are zero cost structures cost free?
  • What role market views play in designing optimal hedging strategies?
  • What is the opportunity cost of hedging?

For answers to the above questions please contact us.

Interest rate hedging optimisation

For corporates with borrowings interest rate risk management is a major concern. Managing this risk entails a number of challenges such as:

  • When hedging matters?
  • What is the optimal hedge ratio and how it is related to debt duration?
  • What is the role of exotic derivatives in hedging?
  • When to embed and when not market views about interest rates?   

Commodity hedging optimisation

Producers and consumers of commodities face major hedging challenges such as:

  • Why to hedge commodity risk at all?
  • When to hedge commodity risk?
  • With what instruments to hedge?
  • What is the optimal hedging horizon?
  • When a market view exist what is the opportunity cost if we want to monetize it?