Strategic Relationships Based on Trust

Our clients trust us with complex projects in market risk, CVA, capital optimisation, Basel III back-testing and model validation.

 

Clients

Our clients are all participants in the capital markets around the world. They encompass investment banks, the capital markets arms of universal banks, state-sponsored financial institutions, insurance companies and asset managers. To date we have worked with such clients in Germany, UK, Ireland and the Middle East. The following list of recent projects gives an overview of the range of Quaternion’s services:

  • Design and Implementation of a QuantLib-based application for computing Credit Valuation Adjustments (CVA/DVA) and Potential Future Exposures (PFE) with interfaces to Murex and Kondor+
  • Integration of QuantLib-based pricing methods into an institution’s Monte Carlo risk monitoring system for Potential Future Exposure (PFE) calculation
  • Summit implementation and system consolidation for Treasury activities
  • Quantitative analysis of the entire book of business, pricing model validation, systematic review and migration of pricing methods into a new valuation platform with integration into the Market Risk measurement system
  • Integration of QuantLib into the client’s library for pricing and risk analysis of the institution’s Fixed Income and derivatives book of business
  • Design and Implementation of solutions for pricing synthetic and highly structured cash flow CDOs with mixed underlying pools consisting of RMBS, CMBS, Corporate CDOs and CDOs of ABS
  • Consolidation of a significant part of the business onto the Summit system platform and migration into a resolution vehicle portfolio
  • EPE alignment of in-house trading desk risk neutral pricing models with QuIC/Markit Analytics and in house historical simulation models used for PFE calculation
  • Methodology and set up of a backtesting framework utilising our own proprietary risk engine solution
  • Training on multicurve pricing and use of OIS discount curves

Please click on the case studies on the left for examples of client projects. If you want to learn about more case studies and how we could assist you, please contact us.

Case Studies