VALUATION MODELS

development of the model platform for a financial institution

THE CHALLENGE

For its wholesale banking division, our client, one of the largest financial institutions in Spain, needed to adapt its platform of financial instrument valuation models to include variations of existing models and new models.

THE SOLUTION

We collaborated with our client to adapt the existing valuation models to include the changes the business area needed or to create new valuation libraries of new financial products.

From a functional point of view, the challenge lay in understanding the valuation models used, the variations the business areas included and their impact on the model. And, from a technical point of view, the challenge lay in the technical implementation of the models and the integration and calibration of all the components forming part of the system (transaction databases, market data system etc.), as well as response time efficiency.

THE RESULT

The institution now has a standardised platform of financial instrument valuation models which, on the one hand, meets its current needs and, on the other, will allow it to grow and incorporate new valuation models for new financial instruments in an integrated and orderly fashion.

In addition, this platform is perfectly integrated and aligned with the institution’s technical architecture.