Specifically, we have practical experience in the following areas:


Software Development

Design and construction of a variety of systems and applications in the following areas:


• Instrument pricing for use by front, middle and back office.
• Portfolio management and risk analysis systems.
• Live data capture, filtering and storage.
• Reuters page publishing.
• Spreadsheet parsing for data extraction and examination.
• Technical analysis and charting applications.
• Telephony integration for the remote activation of telephones and pagers.

Experience of the theoretical and practical aspects of both foreign exchange and interest rate options and structured products. Pricing and hedging of exotic options and products within the following areas:
• Generic and complex bond and swap based products.
• Caps/floors, European, Bermudan and American style exercise swaptions.
• Single and two-factor interest rate term structure models (Hull & White and Ho-Lee).
• Barriered style options.
• Multiple underlying options such as baskets, best of, worst of options.

• Experience and knowledge of the theoretical framework of risk management and risk measurement from the simplest to the more complex second and third generation interest rate and foreign exchange products.
• Data collection and analysis for developing and implementing market and credit risk strategies.
• Spreadsheet based model development for market risk management of structured products.
• Market risk report production.
• Back office and settlement area liason for fixed income and foreign exchange areas.

• Liquidity policy development and implementation.
• Interest rate and foreign exchange exposure management.
• Individual and aggregate loan concentration and sectorial analysis.
• Prudential control and supervision. Policy development and implementation.

• Balance sheet planning and forecasting using both econometric and simulation based approaches.
• Policy development and implementation for interest rate and foreign exchange products.

• Carrying out regular and ad hoc analysis on both micro and macro aspects of domestic and international economics as related to commercial and investment banks.
• Econometric analysis and estimation/forecasting of key balance sheet aggregates. Modelling and simulation of balance sheet behaviour using Monte Carlo analysis.

• External auditing of major companies across a wide range of business sectors.
• Control and risk analysis for commercial and investment banking and insurance sectors.