A fresh take on risk and valuation

Structured product valuation

Client

Bank in Luxembourg

Keywords

Context

The client had no reliable solution to challenge the prices received from counterparties for its portfolio of more than 300 Structured Products and Instruments with complex payoff schemes. This was an issue for accounting, risk management and collateral management, so they made the decision to invest in the development of a professional state-of-the-art pricing tool with automatic market data gathering using the most advanced development tools and third party vendors. Finalyse deliveries consist of a full risk reporting/assessment for each financial instrument in scope and are used in the front office, collateral team and accounting.

Finalyse has developed an outsourced service for the pricing and risk reporting of structured products. The client sends its products description (termsheet) and Finalyse makes the link to market data, developing the model (Monte Carlo, Heston, BGM, shifted Black, etc.) and sending back the prices and risk reportings on a regular basis. Reconciliation is done at the end of each month.     
 

Benefits of the provided solution

Finalyse has developed an outsourced service for the pricing and risk reporting of structured products. The client sends its products description (termsheet) and Finalyse makes the link to market data, developing the model (Monte Carlo, Heston, BGM, shifted Black, etc.) and sending back the prices and risk reportings on a regular basis. Reconciliation is done at the end of each month.  

Key success factors

The client outsourced the calculation of a price and all risk sensitivities to Finalyse, which involved: