Savitar Outsource Consulting, front and back office operations, financial trading systems

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$Description: G:\Savitar Web\images\icon_case.gif$	Case Studies
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Savitar developed a volatility surface model that closely replicated the OCC volatility models for calculating Customer Portfolio Margin on equity option portfolios. In addition developed specifications for implementation on futures options, warrants pricing, VaR and improved stress testing

TYDALL TRADING LLC
Provided several areas of consulting for an FX high frequency trading shop, including management of trading desk, developing HFT algorithms based on risk adjusted analysis, development of futures trading model and design of logical system architecture

Reviewed and vetted pricing models for complex commodity derivatives such as barrier and Asian options. Developed a volatility model for pricing OTC options using exchange traded volatility surfaces. Review and recommendation of risk analytics, reports and tools such as scenario analysis, stress and VaR. Analysed and provided pricing model and risk analysis for commodity Quanto options. Further developed a pricing model for a custom Commodity spread option.

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Savitar provided strategy consulting for the Risk IT area of HSBC. It has provided analysis and advice on strategic initiatives for market risk systems as well as project management for credit risk systems. The value of Savitar came from it’s ability to work closely with the risk management staff as well as the risk IT staff and understand in depth the requirements of the former and bridge it into a technology plan for the latter, thinking strategically as opposed to only tactically.

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Developed sophisticated custom risk methodology for calculating and hedging position risk across large, diverse book of positions. Methodology incorporated correlation analysis to calculate accurate portfolio risk, resulting in lower hedging costs, lower volatility of P&L and higher expected P&L

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Bunge Global Markets
Savitar provided business analyst services to develop new functionality for the Bunge commodity risk management system including models for forward curve and volatility surface generation. Also vetting of derivative models and strategic plan for foreign exchange structured derivatives.

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Assisted client in verification of valuation of exotic foreign exchange options as well as development of portfolio margin calculation methodologies

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