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Some recent projects of Finance Concepts Client: Credit Default Swap Clearinghouse approved by the Federal Reserve
Issue: Independent Review and stress-testing of the risk Management system
Client: Major corporate and investment bank
Issue: Independent review of the Value at Risk
Client:
Leader player in fixed income markets
Issue:
Options pricing with SABR model
Results:
Improvement of Hagan approximation
Client:
Leader player in computer science
Issue:
Valuation of warrants on stock-options of client firm
Results:
Elaboration of a software which compute the "fair value" of the warrants, in taking into account the cash-flows produced by the resale of employees stock-options.
Client:
Energy Trading firm
Issue:
Validation of pricing model of quanto swaps and options on oil
Client:
Leader player in funds management
Issue:
Management of options on hedge-funds index
Results:
Original methods for dynamic management of options on hedge-funds index with taking into account liquidity problem.
Client:
Leading player in the structured credit products market
Issue:
Pricing and hedging of CDOs
Results:
Design of a new computation method, adapted to the client’s technological environment and models used internally development of a specific software including calculation acceleration tools (software currently used by the client)
Client:
Listed options trading company
Issue:
Management of a portfolio of equity and index options (500 names)
Results:
Partnership for the development and implementation of a trading software (results over 2 years: +20% per annum and 70% Sharpe ratio)
Client:
Global leader in the prime brokerage market
Issue:
Audit of the fund management system
Results:
Models audit and propositions for system evolution to the Management of the company (cooperation with the Risk, Equity Derivatives and Prime Brokerage departments)
Client:
Leading multi-manager
Issue:
Design of an allocation tool for a fund of fund
Results:
Audit of model and design of specifications for funds of funds allocation tool
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Finance Concepts partners Finance Concepts has consulted for:
Bank of International Settlements
BNP Paribas
CALYON
CISCO
Electricité de France
Finance Active
HSBC
ICE Trust
IXIS
Mizuho Corporate Bank
Morgan Stanley
Natixis
Reech Capital
Royal Bank of Canada
SocGen
South Street Securities
Total
Total Trading
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