Model Development - Proven Results
Comprehensive mathematical frameworks delivering business transformation
From sophisticated exotic derivatives pricing libraries to Economic Capital models boosting loan approvals by 400%, our bespoke model development transforms complex challenges into competitive advantages.
The success stories below are based on the founder's extensive experience at top-tier financial institutions.
AI-enabled comprehensive pricing precision across volatile markets
Objective/Problem: FinTech required sophisticated pricing capabilities for multiple option types across commodity markets with low liquidity environments.
Service Applied: AI-driven Model Development - Pricing - Complete exotic derivatives pricing framework using QuantLib
Solution Approach: Designed, developed, validated and documented comprehensive array of cutting-edge pricing models for vanilla, barrier, binary, binary barrier options including FlexStrip variants. Created dual-curve yield models (LIBOR/RFR) with robust bootstrapping, implied volatility models with outlier detection, and arbitrage-free volatility curves for grain, soft, and energy markets.
Client Impact: Delivered production-ready pricing library with extensive testing suite covering multiple option types across volatile market conditions. Achieved excellent accuracy versus Bloomberg benchmarks across all scenarios including deep ITM/OTM options, extreme volatility (400%), and various time to expiry scenarios. Enabled confident pricing of complex structured products with mathematical rigor and regulatory compliance.
Equity derivatives Testing for validation
Objective/Problem: Global Investment bank needed robust equity derivatives valuation models with integrated testing framework for model validation and governance compliance.
Service Applied: Model Development - Pricing - Equity derivatives valuation library with comprehensive testing suite
Solution Approach: Successfully implemented valuation model testing for equity derivatives library models including model validation, model governance and model performance analysis using C++ and Python. Generated high quality documentation of models and products associated with equity derivatives using LaTeX. Liaised with model governance and model validation teams to ensure efficient certification process.
Client Impact: Delivered production-ready equity derivatives library with integrated validation framework ensuring regulatory compliance and operational efficiency. Streamlined model certification process through effective governance liaison, enabling faster deployment while maintaining rigorous validation standards and comprehensive documentation for all equity derivative products.
BGM model enhancing valuation precision
Objective/Problem: Trading operations needed advanced interest rate modeling for exotic trades valuation with sophisticated numerical methods.
Service Applied: Model Development - Pricing - Multi-factor BGM model with comprehensive C++ library
Solution Approach: Implemented and calibrated multi-factor BGM model for exotic interest rates trades including cap/swaption calibration. Built customized OO C++ library with Sobol & Mersenne Twister random number generation, NelderMead optimization, Simpson's rule integration, dual curve/OIS/CVA discounting, Monte Carlo, LU decomposition, Cholesky factorisation.
Client Impact: Delivered sophisticated interest rate modeling capability enabling accurate valuation of complex exotic trades. Enhanced trading desk's ability to price and risk manage complicated structured products with confidence in mathematical rigor and numerical precision across various market conditions.
400% increase in automated loan approvals
Objective/Problem: Major European bank faced bottlenecks in small business loan approvals with inconsistent manual risk assessment limiting growth.
Service Applied: Model Development - Risk - Economic Capital and RAROC™ proprietary model
Solution Approach: Conceived, developed, calibrated, implemented and deployed innovative automatic loan granting EC-based model. Included default intensity & LGD calibration, IT specifications (13 staff), 6-month testing across 7 countries (EU/Asia/US), training 50 managers, and Credit Risk ExCo validation.
Client Impact: Delivered operational automated loan approval system that maintained robust risk controls while dramatically accelerating decision-making. Achieved 400% increase in automated small loan approvals, raising automatic approval rate to 70% under appropriate delegation, enabling significant business growth while ensuring regulatory compliance and risk management standards.
ALM model for interest rate risk management
Objective/Problem: Bank needed comprehensive Asset-Liability Management model for banking book to analyze interest rate risk and support monthly ALM Executive Committee decisions.
Service Applied: Model Development - ALM - IRRBB ALM model with automated scenario analysis
Solution Approach: Developed comprehensive ALM model for Interest Rate Risk in Banking Book (IRRBB) including EaR/EVE/Sensitivity Analysis capabilities. Built automated new business expected program for forecasting balance sheet evolution. Parameterised ALM vendor Sendero™ with rates/balance scenarios, cash flow strategies, prepayment rates (CPR model), and rates-balance correlation modeling.
Client Impact: Delivered robust banking book ALM framework enabling systematic interest rate risk assessment and strategic balance sheet management. Provided ALM Executive Committee with automated monthly risk analysis and scenario capabilities, enhancing decision-making for asset-liability positioning and enabling proactive management of interest rate exposures across the banking book.