Expertise
Four practices, one continuous chain from analysis to implementation.
Structured Products
Payoff design, valuation and lifecycle analysis for cross-asset structured investments.
The problem
Structured products are easy to issue and hard to keep under control. Payoffs are negotiated quickly, valuations come from several sources, and once a product is live its behaviour has to be explained to investors, risk and audit — often years after the term sheet was signed.
The approach
Work starts from the term sheet and the actual economics of the payoff, not from a generic model. Each product is decomposed into its option components, priced with a methodology that can be documented and reproduced, and then followed through its lifecycle so that valuation, sensitivities and barrier behaviour stay explainable at any point in time.
Capabilities
- Payoff design and term-sheet analysis
- Pricing of cross-asset structured products
- Valuation methodologies and documentation
- Lifecycle analysis
- Mark-to-market and independent valuation review
- Scenario analysis
- Risk assessment
- Portfolio monitoring
- Product documentation support
Quantitative Investment Solutions
Systematic strategies, index engineering and evidence-based validation of investment processes.
The problem
A systematic strategy or a custom index is only as good as the evidence behind it. Backtests flatter, benchmarks are chosen after the fact, and the difference between a repeatable process and a fortunate sample is rarely made explicit before capital is committed.
The approach
Strategies are rebuilt from their rules and tested against the questions that matter: what drives the return, how much of it survives costs and implementation, how stable it is across periods and regimes, and what a fair benchmark actually looks like. The output is a defensible view of what the strategy does — including where it does not work.
Capabilities
- Systematic investment strategies
- Index engineering and rule design
- Backtesting and robustness testing
- Performance attribution
- Benchmark design
- Factor analysis
- Investment-process validation
- Portfolio reconstruction
Risk & Portfolio Analytics
Sensitivities, stress testing and aggregation that turn positions into decisions.
The problem
Risk numbers are usually available. What is often missing is the link between a sensitivity on a screen and the decision it should trigger — especially for portfolios that mix derivatives, structured notes and linear positions across several currencies and asset classes.
The approach
Risk is measured at the level where it is actually managed: per product, per book, and aggregated across the portfolio. Greeks, stress scenarios and simulations are built to be inspected — the assumptions are visible, the results reconcile, and each metric is tied to a concrete question about exposure, hedging or barrier proximity.
Capabilities
- Greeks and higher-order sensitivities
- Stress testing
- Scenario analysis
- Sensitivity mapping
- Portfolio risk aggregation
- Barrier and trigger monitoring
- Market simulations
- Decision-support analytics
Financial Technology
Python engines, data pipelines and analytical tools built to be used, not demonstrated.
The problem
Analysis that lives in a spreadsheet cannot be scaled, audited or handed over. Teams end up rebuilding the same calculation in three places, and the gap between a research idea and something a business can rely on stays open for months.
The approach
Methods and code are delivered together. A model is implemented as a tested, documented component; the data it needs is pipelined; the results are exposed through reporting or a dashboard that a non-quant can read. Prototypes are built quickly, then industrialised only where it earns its keep.
Capabilities
- Python development
- Quantitative engines
- Data pipelines
- Reporting automation
- Analytical dashboards
- Workflow industrialisation
- Prototypes and proofs of concept
- Model validation tools
Engagements are scoped around a question, not a package.
A mandate can be a two-week valuation review, a full reconstruction of an investment process, or an ongoing analytical partnership. What stays constant is that the work is done by the person you speak to.
Have a complex investment or structuring question?
Let's discuss how quantitative expertise and practical technology can support your project.