Who we are
A boutique consultancy serving capital markets and financial institutions. Small by design, so the people who scope the work are the people who do it.
Our approach
We help clients address their key business and regulatory challenges in a competitive and fast-moving environment. Deep industry knowledge, experienced practitioners and adaptive solutions let us drive a transformation programme successfully rather than designing one and leaving.
We support clients from impact analysis and strategy definition through to implementation and programme management, which is the part most advisers hand over.
Our practitioners
Senior quantitative and risk consultants, each with a front office or tier one investment banking background. Named individuals are agreed in the statement of work and curricula vitae are issued with the proposal.
Principal consultant, quantitative risk and regulatory delivery
Over twenty five years in the capital markets divisions of tier one investment banks across London, Zürich, Frankfurt, Brussels, Munich, Copenhagen, New York and Johannesburg. Front office trading background with detailed knowledge of the European and North American regulatory landscape. MSc in advanced stochastic processes, BSc in financial engineering.
Focus. End to end delivery of regulatory and compliance programmes: FRTB standardised and internal model approaches, SIMM, XVA, CECL, IBOR transition, model risk management, IRRBB, standardised and internal ratings based credit risk, enterprise risk management, stress testing and regulatory capital.
Selected work. Basel 3.1 programme manager on behalf of market risk at a global bank in New York, covering quantitative specification review, risk engine calculation design and performance monitoring. SR 11-7 model validation of front office equity and hybrid books at a global bank in London, covering stochastic skew, local volatility, variance and correlation swap, analytic, delta one, fixed income and hybrid models. VaR, CVA VaR, risk not in VaR and economic risk capital at a global bank in Zürich. Quantitative valuations for a Big Four firm in Johannesburg, including review of its own pricing tools in Excel, Python and C++.
Principal consultant, XVA and counterparty credit
Over fifteen years in the City of London. Cross-asset derivatives pricing, with deep specialism in XVA implementation and modelling, funding, SA-CCR, FRTB analytics including backtesting and non-modellable risk factors, and KVA for counterparty credit risk. MSc in financial engineering and graduate engineer of the École Polytechnique, Paris.
Published. Author of technical articles in Risk Magazine on SA-CCR, including proposals for making it self-consistent and appropriately risk sensitive, and on solving SABR in exact form and unifying it with the LIBOR market model. Presented an indifference pricing approach to funding costs and cost of capital at a Risk.net XVA masterclass.
Selected work. Lead delivery manager for an XVA framework end to end at a global bank in London, from concept and mathematical modelling through to production go-live, including improvements for imperfect CSAs and an FVA model at group and entity level. FRTB internal model approach subject matter expert at a United Kingdom investment bank, covering methodology enhancement, non-modellable risk factor charge prototyping and interest rate volatility surface modelling. Model validation of MVA, KVA and clearing cost models at a United Kingdom banking group.
Principal consultant, funding, liquidity and capital planning
Over sixteen years in tier one investment banks, with a hands-on quantitative background in capital markets, applied principally to regulatory programmes and capital planning. Three master's degrees, from the École Polytechnique, the École Nationale des Ponts et Chaussées and the University of Marne-la-Vallée.
Focus. Funding and liquidity management, enterprise risk management, regulatory capital planning and quantification, XVA calculation and optimisation, FRTB, and quantitative modelling and implementation.
Selected work. Variation margin and CSA modelling and CVA impact analysis at a global bank in London, including LIBOR transition, correlation and rating impacts. LIBOR transition and FRTB workflows for equity hybrids at a global bank in London, with hands-on model benchmarking in C++ and MATLAB, model validation, stress testing and scenario analysis. Model documentation for interest rate futures pricers, equity margin loan pricers and conditional variance swaps with knock-out at a global bank in London.
Principal consultant, enterprise and liquidity risk
Around twenty years in risk across global banks and rating analytics, in London and Johannesburg, spanning enterprise risk, liquidity, counterparty credit and commodities.
Selected work. Enterprise risk management at a global bank in London, including model validation of liquidity premium and liquidity risk models, LIBOR to risk free rate transition impact on funding and liquidity, and counterparty credit risk modelling and quantification. Liquidity risk modelling at a global bank in London, covering initial margin risk model specification, MVA exposure quantification and hands-on data analysis in Python for benchmarking, forecasting and validation. Commodities risk modelling at an investment bank in London on a large oil and gasoline intermediation deal, covering physical and derivative commodity risk, model design and implementation.