Derivatives consulting and modelling

TradeRisks provides advice and technical tools for derivatives pricing, trading, risk management and modelling. Our team has many years of experience of derivatives pricing and risk management in the fields of interest rates, credit, foreign exchange, and equity and commodity derivatives.

TradeRisks provides combined credit and interest rate risk management model design, implementation and back testing for financial institutions.

On the credit side, TradeRisks most recent work has been on the design and development of models that combine portfolios of loans to corporates for whom (equity or debt) securities are either not publicly quoted or are illiquid with portfolios of exposures to swap counterparties with liquid underlying securities.

Among the services we can provide are the following -

• Advising on pricing and modelling derivative products: which models are appropriate; which parameters should be used; comparing outputs of in-house or vendor systems with those given by our own models.
• Advising on risk management of derivatives: which risks should be hedged; how to cope with risks that cannot be hedged; how different model risks should be combined; how limits can be set.
• Advising on the appropriate structuring of legal documentation: TradeRisks has many years of experience in the structuring of ISDA legal documentation and associated CSA collateralisation arrangements.
• Reviewing existing systems and procedures for trading, pricing, modelling and risk management.
• Forensic analysis of what went wrong after unexpected underperformance, significant losses, rogue trader events etc.
• Education, training and information dissemination by written or verbal means.