-
>50%
reduction in annual cost
-
5X
increase in client hedging pitches
-
70%
reduction in turnaround time, due to seamless automation
CLIENT CHALLENGES
- The bank’s client solutions group was providing hedging solutions to leading global corporations using its derivative products. These products (interest rate, cross-currency and commodity derivatives) and cross-derivative type synthetic positions had to be priced to arrive at expected cash flows. Moreover, the derivative pricing models and optimal capital structure analysis needed to be implemented using a pseudo-quasi Monte Carlo simulation framework to offer bespoke hedging solutions. Demand from the bank’s clients was on the rise, and the bank did not have sophisticated quantitative modelling bandwidth.
OUR APPROACH
- Acuity developed a multi-asset Monte Carlo simulation engine to generate future scenarios on FX rates, interest rates and commodity prices and advise clients on their risk and hedging strategies.
- Acuity deployed a team of 2 technology experts, 3 quantitative analysts and 1 quantitative supervisor to perform in-depth capital structure analysis, build pricing models, generate highly customised pitch, develop a robust analytical engine, run risk reports and industrialise pitch books using Monte Carlo simulation
IMPACT DELIVERED
- The Acuity team developed, tested and implemented a framework and trained the client’s users. The framework can also be used by new team members with minimal training and is, therefore, scalable
- Leveraging this framework, the bank increased the number of annual bespoke hedging pitches to 150 in 2015 from 30 in 2013
- With Acuity’s assistance, the bank added commodity hedging to its suite of services, along with interest rate and FX
Thank you for sharing your details
Your file will start downloading automatically
If it does not download within 1 minute,
Share this on
