Constructing loss distribution
- Binomial expansion approximation
- Factor approach (semi-analytical)
- Analytical approach (saddlepoint method)
Structured product modeling
- Assisting and guiding design processes of security structures
- Providing strategic advice in client′s securitization process
- Assigning proxy credit ratings that would most likely be issued by a major credit rating agency
- Providing analytical support in the "mark-to-market" or "fair value" process
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Economic capital calculation//Basel II
- PD model validation
- Default correlation estimation
- Economic capital calculation
- Internal capital adequacy assessment
- IT implementation consulting
Counterparty risk
- Current exposure
- Potential future exposure
- Expected exposure
Capital structure arbitrage
- Credit spread from equity market (derived from volatility surface)
- Indentifying arbitrage opportunities
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