Some of our recent projects*.

*The related case-study can be obtained upon request.

Vendor 

• Writing complete XVA model specifications
• Writing FRTB-IMA-DRC model specifications

Valuation Services Company

• XVA advisory
• Developing SVI-type implied volatility surfaces methodologies

Consultancy

• Validating of the P&L Stress-Testing methodology, Tier 1 Investment Bank
• Completing Quantitative Audit of Pillar 1 Market Risk models (VaR, sVaR, IRC, RNIV), Major Dutch bank
• Validating the Liquidity Risk Management Framework, Global CCP
• Completing Quantitative Audit of Initial Margin models, General Clearing Member ​