Financial Engineering

Services

Financial Engineering

  • Valuation of complex financial products of all asset classes including hybrid products. This service includes:

    • A detailed analysis of the financial products that are to be valued. This involves a careful analysis of the associated term sheet with a view towards identifying the relevant characteristics of the instrument from a valuation standpoint.
    • Determination of the market data inputs required for the valuation.
    • Selection of an appropriate valuation model for the instrument in question.
    • Calibrating the model based on the relevant market data.
    • Implementing the valuation model and integrating it into the existing valuation engine.

  • Validation of existing valuation models (Model Vetting):

    • Benchmarking the results produced by the existing valuation model against industry standard valuation tools.
    • Stress Testing: Checking the consistency of the results produced by the valuation model under extreme market conditions (stress scenarios).

  • Valuation of collateralized financial products using the Multi-Curve valuation approach (OIS Discounting).
  • Hedge Accounting: Provide assistance in selecting and implementing methods for checking hedge effectiveness (Prospective and Retrospective methods) under IFRS regulations including assisting with the preparation of the required hedge documentation.
  • Econometric modelling of risk factors.
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