Providing analysis for making informed financial decisions across the financial institutions and corporates sectors
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?
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?
For answers to the above questions please contact us.
