Blog Articles, Case Studies, White-papers.
The Potential of Databricks
Databricks is a cloud-native unified data and analytics platform designed to run on public cloud infrastructure. We discuss opportunities
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Asset Manager NAV Calculation
Our customer, a leading global investment management firm, had outsourced the pricing of derivative instruments.
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Building the Market Risk System
One of Germany’s largest banks replaced the existing pricing kernel for their market risk system by an in-house development, using the front office pricing library.
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Schätzung von operationellen Risiken
Methodische Herausforderungen und Chancen für die quantitative Schätzung von operationellen Risiken. Die quantitative Schätzung und Steuerung
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EEG Portfolio-bewirtschaftung
Deutschlands Übertragungsnetzbetreiber sind gesetzlich verpflichtet, EEG-Strom sicher und kosteneffizient am Spotmarkt zu vermarkten - mit Fokus auf Systemsicherheit, 24/7-Bewirtschaftung und automatisierte Prozesse.
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Lessons Learned from AQR
This paper outlines the essential steps of the derivative pricing model review process, drawing on experience from the ECB's Asset Quality Review (AQR). It covers model adequacy, parameterisation, calibration, and reserves against model deficiencies.
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Drift Dependence of Optimal Trade Execution Strategies
Every large trade moves the market. The question is by how much, for how long, and how that should shape the way you execute. For a decade, most execution desks and TCA frameworks have answered this question using models that treat price impact as permanent — a one-way street where each trade irreversibly shifts the price level.
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Insider Trading in Discrete Time Kyle Games
Markets are not neutral. Every trade is a signal, and sophisticated participants know it. The question is: how does an informed trader extract value from private information without giving the game away?
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