Making Risk Manageable

Deep experience with complex securities, modern pricing and risk challenges.

Solving Complex Risk Challenges

Entrusted by Top 10 Global Investment Banks

Quaternion supports clients in trading, risk management and finance functions.

We specialise in the quantitative analysis of cash and derivative products in fixed-income, equity and commodity asset classes, from standard products to highly structured variants. Our services encompass:

  • The quantitative analysis of financial contracts,
  • The development and validation of models and methods for pricing, P&L and performance measurement,
  • Market, liquidity and credit risk analysis and, finally,
  • Integrated market and credit risk measurement for the purpose of analysing an institution’s risk bearing capacity.

Special expertise

These services range from the analysis of single products or positions to independent portfolio valuation and risk analysis, and from validation and development of methods to their concrete application to an entire book of business. We have special expertise in the areas of:

  • CVA/DVA/FVA and integration with OTC clearing
  • Multicurve pricing, OIS discounting
  • Back testing methodologies and implementation
  • Stress testing
  • Model calibration
  • Model validation

Specialists in Quantitative Finance Development

Quaternion’s software solutions frequently build upon QuantLib – a free/open source library for quantitative finance (quantlib.org). Quaternion partners and employees have been working with QuantLib for over 10 years gaining detailed knowledge of its library and have made key contributions to the QuantLib project. An extended version of QuantLib is frequently a central component in Quaternion’s solutions.

Our Software Services

  • Quaternion develops software tools supporting quantitative analysis tasks from pricing structured products to portfolio market and credit risk analysis
  • Software services range from configuration and extension of clients’ existing solutions to development of new pricing and risk management tools and applications
  • Quaternion offers both support for clients’ development projects as well as independent software development and its adaptation to, and integration into, clients’ infrastructure.

Quaternion offers project management for the implementation, migration or consolidation of front-to-back systems supporting front office, back office, Risk and Finance.

Quaternion has particularly long-term and detailed experience regarding a variety of vendor software, including the front-to-back Summit system: ranging from programme management and design to system parameterisation, data model extension, development of reports, analytics and additional pricing functionality. Additionally, the company has in-depth recent experience with Sungard’s Front Arena, Murex, Numerix/Compatibl, QuIC/Markit Analytics and SAP.

Experience & Expertise

In addition Quaternion offers – based on our lengthy experience in line positions:

  • Project management and execution for data quality enhancing initiatives with respect to trade and market data,
  • Basic system configuration,
  • Selective analysis and improvements to data cleansing of an entire book of business based on detailed reconciliation between system representation of trades and written documentation – requiring both quantitative and IT expertise.

Helping “bad” and failing banks

We have extensive experience of helping “bad” and failing banks to re-organise their structures, reporting lines and systems for optimal organisation efficiency and transparency.

Structuring for success

We advise banks who are in no way at risk as to how to be structured for success. Such remediation can provide an independent and politically sensitive operational solution which might involve risk management, trading, regulatory reporting, compliance, treasury and accounting functions.

Delivery of theoretical foundations and practical applications

Quaternion partners are part-time lecturers in quantitative finance using QuantLib for practical coursework. Our clients can benefit from this experience and our material on both the theoretical foundations and practical applications of financial mathematics.