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