Approach
Method and independence
Every price, value and risk measure we produce can be reconstructed by a third party from the data and model choices we document. Nothing we earn depends on the outcome.
Process
Market data of the day, a model fitted to the payoff
- 01DocumentsTerm sheet, confirmations, master agreement, statements, correspondence, the bank's mark.
- 02MarketReconstruction of the market at each relevant date: spot, curves, forward points, volatility surfaces.
- 03ValuationModel calibrated to the market of the date, sensitivity tests on the determining assumptions.
- 04DocumentationSources, parameters, model choices and limitations, recorded in the report.
Models
- Forwards, swaps, caps and floors
- Multi-curve framework, OIS discounting, caplet volatilities, credit adjustments where the contract makes them relevant.
- Vanilla options
- Closed-form pricing on the market smile at the valuation date.
- Path-dependent products
- Monte Carlo under local or stochastic-local volatility for TARFs, accumulators and barrier options.
- Autocallables and notes
- Multi-asset Monte Carlo, correlations, implied dividends, issuer credit spread.
Independence
Four rules, applied to every engagement
A figure is only worth the absence of interest of the person producing it.
No retrocessions
We receive no remuneration from any issuer, bank or distributor, in any form.
No success fee
Fees are fixed at signature. Neither the figure in an expert report nor the price obtained in a competitive quote changes our remuneration.
Conflicts disclosed in writing
Before each engagement we check and disclose any relationship with the counterparty and any exposure to the underlyings concerned.
We price, you decide
We establish values, prices and risks. The decision to trade, and with whom, remains the client's.
Contact
A markets question to deal with?
Describe the situation in a few lines. We come back with a first reading and a scope of work.