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VALUATION MODELS & ANALYTICS

Ever-changing capital market conditions require tailor-made models and methodologies for capital market products. At WEPEX, we offer comprehensive support to effectively manage the challenges in this area.

 

Capital markets and their participants, including banks, exchanges and asset managers, are in a constant state of flux. New product developments, regulatory requirements and digital transformation often require revised valuation practices in the areas of trading, portfolio management, collateral and limit management, risk management and hedge accounting.

 

At WEPEX, we have extensive expertise and detailed knowledge of products, processes, models and methodologies. We can help you develop and test your quantitative models and review your valuation and trading infrastructure.

 

Our proven quantitative expertise, combined with our proximity to academia and the mathematical, methodological and technological expertise of our specialised team, ensures a marketable and practical implementation of best practice. We cover all aspects from mathematical valuation models, methods and valuation architecture to data connectivity, technological implementation, regulatory compliance and audit support.

 

We provide holistic advice to optimise your valuation models and analysis processes for the demanding environment of the financial markets. We work closely with specialist partners, the recognised WEPEX Advisory Board and internationally renowned universities.

SELECTED REFERENCES

REGIONAL BANK:

Extension of the valuation architecture for more complex interest rate products

Initial situation

Strong customer demand for more complex interest rate products (ratchet, range accrual, CMS spread TARN and inflation indexed products).

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Challenge

Customer driven sales and trading of more complex interest rate products (Ratchet, Range Accrual, CMS Spread TARN and Inflation Indexed Products) required an extension of the existing valuation library for the valuation of the relevant models and methods as well as adequate mapping in the bank's systems.

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Solution

Under the project coordination of WEPEX, the existing valuation library was extended for the relevant, more complex interest rate products and the models and methods were independently validated by Risk Controlling. In addition, the connection to the trading and risk systems (Murex) was established via an API interface, and the product mapping in the downstream systems was carried out under the control of WEPEX.

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