{"id":50068,"date":"2023-01-25T11:59:23","date_gmt":"2023-01-25T10:59:23","guid":{"rendered":"https:\/\/rivacon.com\/references\/banking-en\/validierung-von-bewertungsmodellen\/"},"modified":"2024-11-28T16:08:30","modified_gmt":"2024-11-28T15:08:30","slug":"validation-of-pricing-models","status":"publish","type":"post","link":"https:\/\/rivacon.com\/en\/references\/banks\/validation-of-pricing-models\/","title":{"rendered":"Validation of Pricing Models"},"content":{"rendered":"\n

<\/path><\/svg><\/span>Initial Situation<\/span><\/h2>\n\n\n\n

 A German regional state bank continuously emits structured equity derivatives. The bank wants to change from back-to-back hedges per single trade to risk based macro hedges. Therefore, it developed an inhouse pricing library. The library is intended to be integrated in the Front Office system and to be used for ongoing quotation of the own issues.<\/p>\n\n\n\n

<\/path><\/path><\/path><\/path><\/path><\/g><\/path><\/path><\/path><\/path><\/g><\/path><\/path><\/path><\/path><\/g><\/path><\/path><\/path><\/path><\/g><\/svg><\/span>Project Scope<\/span><\/h2>\n\n\n\n
    \n
  • Validation of bank\u2019s Monte Carlo pricing<\/li>\n\n\n\n
  • Analysis and parametrisation of P&L Explain<\/li>\n\n\n\n
  • Benchmarking of dividend model\u00a0<\/li>\n\n\n\n
  • Definition of quotation rules<\/li>\n<\/ul>\n\n\n\n

    <\/path> <\/path> <\/svg><\/span>Our Contribution<\/span><\/h2>\n\n\n\n
      \n
    • Pricing validation: Comparison with RIVACON pricing library<\/li>\n\n\n\n
    • Testing of pricing stability and consistency<\/li>\n\n\n\n
    • Validation of sensitivities<\/li>\n\n\n\n
    • Proposals for parametrisations of pricing library\u00a0<\/li>\n\n\n\n
    • Proposals for quotation rules<\/li>\n\n\n\n
    • Documentation of results<\/li>\n<\/ul>\n\n\n\n

      <\/path><\/path><\/path><\/path><\/path><\/path><\/path><\/path><\/svg><\/span>Customer Benefit<\/span><\/h2>\n\n\n\n

      The first milestone was the successful validation<\/strong> of the pricing library<\/strong> by an independent<\/strong> tool. Moreover, the pricing of relevant key figures proved to be stable. Hence, both reliable risk figures<\/strong> as well as robust quotation rules<\/strong> could be ensured. Finally, the hedging of the own issuance business was changed from single trade to macro level reducing associated costs significantly.<\/p>\n\n\n\n

      <\/path><\/svg><\/span>Relevant Skills \/ Tools<\/span><\/h2>\n\n\n\n
        \n
      • Independent pricing library for structured derivatives<\/li>\n\n\n\n
      • Programming languages: C++, Python (Jupyter-Notebooks)<\/li>\n\n\n\n
      • Know-how in Front Office system Front Arena<\/li>\n<\/ul>\n","protected":false},"excerpt":{"rendered":"

        Independent model validation of pricing library for changing from single to macro hedges for own issues of structured equity derivatives.<\/p>\n","protected":false},"author":3,"featured_media":82349,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_seopress_robots_primary_cat":"none","_seopress_titles_title":"","_seopress_titles_desc":"Independent model validation of pricing library for changing from single to macro hedges for own issues of structured equity derivatives.","_seopress_robots_index":"","_seopress_analysis_target_kw":"","footnotes":""},"categories":[18],"tags":[],"class_list":["post-50068","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-banks","infinite-scroll-item","generate-columns","tablet-grid-50","mobile-grid-100","grid-parent","grid-50","resize-featured-image"],"_links":{"self":[{"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/posts\/50068","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/comments?post=50068"}],"version-history":[{"count":5,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/posts\/50068\/revisions"}],"predecessor-version":[{"id":82670,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/posts\/50068\/revisions\/82670"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/media\/82349"}],"wp:attachment":[{"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/media?parent=50068"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/categories?post=50068"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/tags?post=50068"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}