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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?

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