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April 2018 |
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New Zeliade white paper on the default loss allocation by a Central Counterparty clearing house (CCP).
Since the 2008 financial crisis, the Central Counterparty clearing houses (CCPs) gained more and more importance in the financial system.
Their main mission is to alleviate the impact of the default of a clearing member (CM), imposing margins calls per CM and a mutualized (default) fund filled by all the CMs as resources for the replacement costs.
In the case of the default of a clearing member, the losses induced by the liquidation of the defaulter's portfolio will be covered by the CCP, first, using the margins posted by the defaulter, followed by its contribution to the default fund, and then a portion of the CCP's capital (aka skin-in-the-game). If these resources are insufficient, the subsequent losses will be allocated to the default fund contributions of the non-defaulting members.
We focus on this post on the way those losses are allocated among the non-defaulting CMs, by investigating the public documents specifying the default rules for four CCPs: SwapClear (LCH Ltd), Eurex IR Derivatives (Eurex), OTCC (HKEx) and ICSG (ICE).
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March 2018 |
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New Zeliade white paper on the arbitrage free calibration and interpolation of SSVI.
Building upon the time-dependent correlation eSSVI model, a quick and robust calibration of volatility slices is designed,
which guarantees no Butterfly and no Calendar Spread Arbitrage.
Moreover the most natural interpolation/extrapolation scheme of the calibrated parameters is shown to preserve the absence of arbitrage.
The calibration accuracy is excellent beyond 6 months and close to the ATM by construction.
This is likely to be the quickest and easiest to implement algorithm available to get a volatility surface with no arbitrage.
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September 2017 |
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Aitor Muguruza-Gonzalez is awarded the price of the best Master thesis in Quantitative Finance by the Natixis Foundation for his work on the VIX Futures in the Rough Bergomi model during his master internship at Zeliade. Congrats to Aitor. We are especially happy of this reward, which illustrates the fruitful long-term collaboration between Imperial College and Zeliade, in particular through the Zanadu notebook paltform.
Aitor joint work with Antoine Jacquier and Claude Martini has been published in Quantitative Finance
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July 2017 |
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Zeliade successfully completes independent model review of Cross Currency Swap pricers for LCH SwapAgent.
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May 2017 |
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Claude Martini, CEO of Zeliade, gives a talk at the Scuola Normale Superiore on his work with Luciano Campi (LSE) on the Extremal points of the set of martingale measures with given marginals.
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April 2017 |
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Claude Martini, CEO of Zeliade, is a guest speaker at the 11th Annual Risk and Stochastics LSE Winton conference.
Claude gives a talk on the eSSVI volatility surface, a time dependent correlation variant of Gatheral Jacquier SSVI elaborated during the Master internship at Zeliade of Sebas Hendriks (Delft University), with explicit sufficient conditions for no calendar arbitrage.
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Jan 2017 |
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The 18th session of the Parisian Model Validation Seminar was held at Institut Louis Bachelier on January 12th, 2017. It focused on the important topic of backtesting trading books and Initial Margin models.
The 18th session of the Parisian Model Validation Seminar was held at Institut Louis Bachelier on January 12th, 2017. It focused on the important topic of backtesting trading books and Initial Margin models.
Alexander Mc Neil (now York university) talked about the backtesing of trading books in the context of the stringent FRTB regulation body. He focused on the practice of validating models by checking the number of historical breaches of their Expected Shortfall. The fascinating part of his talk was a clean statistical investigation of this practice, with theoretical figures of power and sizes of tests, and simulations within plain of filtered historical simulation. This goes far beyond the traditional breaches count, often associated with the Kupiec test, widely used in the industry. Several other tests based on p-values were studied in detail, some of which are much more robust than the Kupiec test. In particular, Alexander showed that in many circumstances the test of number of breaches will pass, whereas it does not mean anything in fact.
Pedro Gurrola-Perez (Bank of England) presented in great detail the practice of backtesting the Initial Margin models of CCPs, with the same kind of concerns. Pedro insisted also on the influence of the EWMA decay factor and of the smoothing parameter in the FHS algorithm. He draw a comparison of the industry practice with the ability of Paul the octopus to forecast game results during the 2010 world cup. His conclusions were that the current focus on counting breaches may privilege overreacting models, therefore too procyclical, and more generally
impair the forecasting power of the model regarding the changes in volatility regimes. As an alternative, he proposed several measures that take
into account both the number of breaches and the size of the Initial Margin erosions.
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Oct 2016 |
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OTC Clearing Hong Kong Limited selects Zeliade for the independent review of its margin model
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Sept 2016 |
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LCH selects Zeliade for the independent review of its margin model
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Sept 2015 |
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LCH.Clearnet SA selects Zeliade for the independent review of its margin models
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July 2015 |
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PHD defense of Ismail Laachir, head of Commodities at Zeliade on “Quantification of the model risk in finance and related problems”.
The PHD advisors were Prof. Fancesco Russo (ENSTA) and Jean-Marc le Caillec, and the members of the jury were Pr. Monique Jeanblanc, Stehan Ankirchner, Delphine Lautier, and Patrick Hénaff and Claude Martini.
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June 2015 |
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Stress Tests session at the Parisian Model Validation Seminar
The PMVS continues its success with its XVIIth session dedicated to worst case scenarios and stress-tests. Over 50 people in he audience with major risk officers, regulators, and academic researchers working on the subject with statistical or financial backgrounds.
Quentin Archer and Pierre Mouy from LCH Clearnet SA Risk Methodology Team presented a new proxy formula for a portfolio-driven robust worst loss criterion, with application to a mixed Student-T multivariate distributions with different Student indexes for each component. Quentin disseminated the link to the official position of central counterparties on
stress tests:
LCH paper
Quentin insisted on the fact that this innovative methodology has been re-implemented, discussed and challenged by Zeliade during an independent model validation project using the IPython notebooks
platform Zanadu
, and stressed all the benefits of using executable reports that the client or regulator can replay and tweak for such projects.
This innovative methodology was derived from the seminal work of Pr. Thomas Breuer, and fits well in the so-called 2ng generation worst case scenarios presented by Thomas in the second talk of the session. The 3rd and 4th generations allow to embed model risk in the worst case framework, and also to work with non-equivalent measures as highlighted by a remark of Pierre Contencin (La Banque Postale). Several applications in a non-gaussian and non-linear framework were given in the context of multivariate default risk.
Zeliade is proud to have contributed to the organization of this event 'de place', which was especially successful according to the participants during the cocktail. Pr Breuer generic worst loss/most plausible scenarios framework is a great methodological tool for the risk industry with numerous potential applications in very concrete situations down the road. An executable version of Quentin and Pierre talk will be available soon in the Zanadu channel of the seminar.
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March 2015 |
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Claude Martini, CEO of Zeliade, is a guest speaker at the Optimal transport and stochastics workshop of he Haussdorf Research Institute for Mathematics in Bonn. This workshop gathers expert in the field of martingale optimal transport and robust finance. Claude presents his joint work with
Pr. Luciano Campi
on the characterization of the extremal martingale probability measures with given marginals. This work is partially funded by the
Isotace
french ANR project.
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March 2015 |
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OBCAP (Observatory Capital Management LLP) selects the ZQF library.
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January 2015 |
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Claude Martini, CEO of Zeliade, speaks at the London Mathematical Finance Seminar. Claude presents his joint work with
Pr. Luciano Campi
on the characterization of the extremal martingale probability measures with given marginals. This work is partially funded by the
Isotace french ANR project.
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May 2014 |
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Athena Capital selects Zeliade products and services.
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February 2014 |
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Claude Martini, CEO of Zeliade, is a guest speaker at the Advances in Financial Mathematics conference in Paris. Claude presents Zeliade work on the calibration of the recent
Gatheral-Jacquier SSVI model which extends the SVI model to the whole volatility surface.
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September 2013 |
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Co-sponsor with Accenture of PRMIA France''s Conference on Model Risk
Zeliade systems coproduces with PRMIA and Accenture a seminal conference on Model Risk. Prominent thought leaders coming from both academia and the financial industry will participate to the conference to present their findings and engage in debates regarding the road ahead. Among the prominent speakers :
Christian JIMENEZ, President, PRMIA France
Eric JEANNE, Managing Director, Accenture
Rama CONT, Chair in Mathematical Finance, Imperial College
Christian WALTER, Finance Professor, Paris Catholic Institute
Marc POTTERS, Co-CIO, Capital Fund Management
Hamza BAJAJI, Head of Financial Engineering and Quantitative Research, Natixis
Pascal GIBART, Head of Risk Quants, Crédit Agricole CIB
Thibaut HEURTEBIZE, Senior Manager, Accenture
Ronan DAVIT, Head of Risk Management, EULER HERMES
Tanguy DEHAPIOT, Head of Model Validation Group, BNP Paribas
Valérie VILLAFRANCA, Senior Executive, Bank Risk Management, Accenture
Mark SINSHEIMER, Zeliade Business Development, will introduce the day and Frederic PATRAS, Zeliade Head of Research, will make a presentation on what could constitute best practices in the field of model validation.
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July 2013 |
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Zeliade releases ZQF 1.8
Zeliade upgrades the Zeliade Quant Framework to version 1.8, with significant enhancements to multi-curve models, local stochastic volatility calibration, quasi Monte Carlo and transparent distributed Monte Carlo computations on a local network of Windows machine. The hyper modular ZQF Monte Carlo framework is enriched with numerous tasks related to sensitivities and CVA/DVA computations.
ZQF/Foreign Exchange is enriched with an innovative SSVI-based smile construction, and straight calibration algorithms for parametric models, without preliminary smile construction. ZQF/Commodities crunches data daily from ICE and NYMEX files. It is also enriched with ZPL products and templates for more exotic products. Last but not least, ZPL now encompasses Credit products and allows to capture almost any conceivable hybrid product with Credit features.
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July 2013 |
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Zeliade and GMS (Global Market Solution) partners on CVA
Global Market Solutions ,
the IRIS software editor for Counterparty Credit Risk, announced a partnership agreement with
Zeliade Systems.
Through this partnership IRIS© will benefit from Zeliade Quant Framework (ZQF) for the valuation and risk management of derivatives across all asset classes and will expand the universe of assets classes pricing provided natively inits core offering.
IRIS offers a complete solution covering all the Counterparty Credit Risk project streams from data acquisition including Trade, Market and CSA data to Pricing, Aggregation and Risk Measures Engines.IRIS provides a robust and flexible front-end for Trade Capture and elaborated what-if Scenario.
IRIS includes a Pricing engine for computing forward MtMs (Marked to Market pricing) in a coherent way providing a Libor Market Model and a Black-Sholes implementation. This partnership will allow IRIS to plug Zeliade pricers on Equity, Credit, Interest Rates, Forex, Inflation and Commodities markets through the IRIS Model API. These API are used as connectors to calibration, diffusion and/or pricing calls to the ZQF.Net libraries.
The Zeliade Quant Framework is an industrial-strength/fully functional open development framework for the valuation and risk management of derivatives across all asset classes.
The Quant/IT culture of Zeliade combined with the risk management expertise and integration/implementation force of Global Market Solutions allows for a full Risk Management suite with a powerful front-end and superior simulation features.
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March 2013 |
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A new article on model risk by Zeliade associates (P.Cohort and F.Patras) and P.Levy-Vehel (La Banque Postale), forthcoming in Journal of risk Model Validation: “Toward model value-at-risk: bespoke CDO tranches, a case studyproblems”
In the aftermath of the subprime crisis the importance of model risk has come to the forefront, regulators after having accepted recourse by fnancial institutions to internal models have now become more demanding on model risk measurement and management.
On the other hand, in spite of recent advances, the subject still lacks a clear and largely accepted methodology as is the case for market or credit risk.
This paper argue that the mainstream research has to be supplemented by new insights and methods, and, in particular, propose a new method, called model value-at-risk, that aims to answer such questions as, what is the model-dependent value-at-risk of an investment at one year at a confidence level of 95%? We have chosen the case study of bespoke collateralized debt obligation tranches, but most of our reasoning could be adapted to other complex contracts and markets.
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September 2012 |
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Zeliade Systems part of ISOTACE project
ISOTACE (Interacting Systems and Optimal Transportation, Applications to Computational Economics) is a research intiative dedicated to
the application of partial differential equations (PDE), in particular Optimal Transportation (OT) and Mean field Games (MFG) theories, to economics and more generally social sciences.
ISOTACE is structured as a public-private consortium with 4 year funding. It groups both academic institutions such as Ecole Polytechnique, INRIA,
Paris VI, Paris VII, and Nice Universities and two private companies: Zeliade Systems and MFGLabs.
This initiative will open new perspectives in model risk assessment , most notably so far, breakthrough methods to compute arbitrage free bounds of exotic option prices from vanilla options
prices. The seminal work on this innovative approach was presented by Nizar Touzi at the 8th edition of the Euclide/Parisian Model Validation Seminar. Zeliade commits
substantial resources to uphold and demonstrate its leadership in the area of model validation and risk assesment.
Zeliade is proud to be invited to participate in such a prestigious project as ISOTACE and to see its know-how in the implementation of numerical algorithms
confirmed once again by leading academics.
Zeliade's specificity is to maintain deep roots in academia in order to offer cutting edge theoretical approaches in a robust development framework
based on the best available technology to clients who wish to remain ahead of the pack.
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August 2012 |
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Mark Sinsheimer, CFA , CAIA joins Zeliade in charge of business development.
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July 2012 |
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Zeliade is awarded the "Ambition PME" label (Promising small company) by the Paris region Chamber of Commerce.
This coveted award opens up new financing possibilities which will be used to accelerate completion of our existing projects.
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June 2012 |
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10th edition of the Euclide/Parisian Model Validation Seminar
with a brilliant talk by Alok Gupta (Deutsche Bank, NY) on his joint work with Christoph Reisinger (his PHD advisor) on innovative Markov Chain Monte Carlo algorithms for the historical calibration of the local volatility. After presenting the general theory in a more abstract framework - which encompasses stochastic volatility models, Alok described in details the numerical issues related to the implementation of the algorithm.
The talk by Piotr Karansinski, who became famous after his short term interest rate model with Fisher Black, dealt with the generalized Vanna Volga method pioneered by Hagan. Piotr discussed the pros and cons of this model-free approach with a risk management point of view. Vivid discussions of real life applications in the world of FX barrier options follow.
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April 2012 |
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Zeliade renews Microsoft Partner Certified Program for the fifth consecutive year.
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March 2012 |
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Release of Zeliade Quant Framework V1.6
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March 2012 |
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9th Euclide/Parisian Model Validation seminar
with a brilliant presentation by Chris Rogers on his seminal work on the explicit computation of the arbitrage-free bounds for single barrier options. Chris explained with his
legendary pedagogical skills the hard part of the paper which proves that the natural necessary conditions are also sufifcient. This goes through
an explicit construction of a martingale through a clever choice of a Brownian stopping time in the flavor of Skorokhod embeddings. The final problem
is an (infinite dimensional) linear programming problem, which is easy to discretize and to solve through available packages for that purpose.
Archives of the seminar
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December 2011 |
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8th Euclide/Parisian Model Validation seminar
with a brilliant talk by Nizar Touzi (Polytechnique) on his recent work with Alfred Galichon and Pierre Henry-Labordère on the computation of the arbitrage-free bounds for an exotic product given a set of market vanilla prices. This work is a breakthrough in the study of modele risk and model uncertainty. The mathematical approach of the problem through the Monge-Kantorovich dual formulation of the optimal transportation problem (where the transportation problem pertains to the known marginal laws at the available maturities for vanilla opttions written on the underlyer) is very elegant and allows to use classical techniques of stochastic control. As in the Lagangian UVM approach pioneered almost 20 years ago by Avellaneda, Levy and Paras, the problem is ultimatey solved by minimizing a convex function in the Lagrange multipliers - the evaluation of the function requiring to solve a stochastic control problem.
Nizar demoed how their framework allows to find special solutions to the Skorokhod embedding problem. This kind of connections has already been fostered by Rogers and Hobson
in their work on Barrier options - yet Touzi, Galichon and Henry-Labordère approach is much more general and with a different focus.
The second talk by Lexifi (www.lexifi.com) founder and CEO Jean-Marc Eber describes the MLfi language for structured products, with a detail account of the key advantages to use such a formal approach in a front-to-back system. A lingua franca for structured products
would also vastly improve the ability of compliance and regulatory authorities to assess risk, including model risk.
Archives of the seminar
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December 2011 |
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Zeliade founding member of APVIF, French professional association of independent pricing agents for financial instruments.
APVIF will define minimum standards and best practices examples for the profession and represent this crucial segment of the financial information
value chain to regulators among which AMF and ESMA within the frameworks of AIFM and UCITS directives.
www.apvif.org
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November 2010 |
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PHD defense of Stefano De Marco, Zeliade Systems and University of Paris-Est Marne-la-Vallée
Stefano De Marco, Zeliade
Systems and University of Paris-Est Marne-la-Vallée, defends
his PHD thesis "cum laude", "On Probability Distributions of
Diffusions and Financial Models with non-globally smooth
coefficients" at the prestigious Scuola Normale Superiore di
Pisa. Besides his PHD advisors, Prof. V.Bally and M.Pratelli,
the jury was composed by E.Gobet (Ecole Polytechnique), Prof.
G.Letta and S.Marmi from the Scuola Normale Superiore, and
C.Martini (Zeliade Systems).
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October 2010 |
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PHD defense of Antoine Jacquier, Zeliade Systems and Imperial College London
Antoine Jacquier, Zeliade Systems and Imperial College London, successfully defends his PHD thesis at
Imperial, "Implied volatility asymptotics under affine
stochastic volatility models". The PhD supervisor was Dr A.
Mijatovic (University of Warwick), and the members of the jury were Professor Mark H.A. Davis (Imperial College London)
Professor Huyên Pham (Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Paris 7 and Institut Universitaire
de France).
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October 2010 |
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Zeliade on the challenges of independent valuation for the
buy-side.
Zeliade challenges the
process of independent valuation at a roundtable organized by
the Club Finance Innovation with Derivexperts, the Euclide
project, Lexifi and Pricing Partners: “Independent valuations
for the buy-side: expectations, challenges and solutions”.
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September 2010 |
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The 3rd Euclide/Parisian Model Validation Seminar.
Jeroen Kerkhof (VAR
Strategies BVBA) talks about the multi-curve conundrum and how
to move from the traditional bootstrap/interpolation framework
to the global multi-curve world in the post-2008 fixed income
universe. Following insights from Credit modeling a consistent
approach is feasible even if there are still workflow and
numerical issues.
Practitioners even start to quote swaptions in the forward
numeraire since there is no agreement on the adequate discount
factor. Some new market practice is coming up, yet no global
consensus has been reached so far.
Pascal Gibart (CA-CIB) displays implementation of model risk
measures following Patrick Henaff recent preprint.
The algorithm is easy to implement and yields robust and
meaningful figures - various FX exotic were 'model risk
assessed' with the mainstream FX local/stoch vol model as
reference. Unlike VaR and other market risk measures, the
model risk cannot be diversified, and some care is to be taken
in the interpretation of the Basel II July 2009
recommendation.
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May 2010 |
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Euclide/Parisian Model Validation seminar : second edition
With its second edition on
May 27th, the Euclide/Parisian Model Validation seminar has proved
itself as one of the central rendez-vous for Model Validation.
The premises of the Institut Louis Bachelier, an association
supporting the research in the field of finance set in the old
financial quarter in Paris, welcomed two exceptional speakers
and more than 40 participants, in large part practitioners
from model validation teams of french banks and from
consulting companies and a number of researchers from the
major parisians academic institutions.
The first speaker, Marco Avellaneda from New York University,
presented some recent advances in the field of risk management
for central counterparties. The talk gave a detailed overview
of the regulatory aspects and fund requirements for CCP
clearing houses and proposed an innovative mathematical
framework for stress-testing the margins and fund
contributions based on a combination of extreme value theory
to model market risks and random matrices to model the
clearing member's portfolios.
The talk of the second speaker, Etienne Koehler from the
counterparty risk team at Barclays Capital, provided some
complementary insights on model risk. After reviewing the
classical approach to pricing and hedging based on replicating
portfolios, the speaker addressed the importance of having at
hand alternative methodologies funded on back-testing in order
to enhance the pricing, in particular in crisis and
post-crisis scenarios. The presentation of two case studies of
hedging of a vanilla and of a complex IR/FX hybrid allowed to
highlight the need for introducing new factors in the pricing
procedure, in particular in volatile or crisis phases of the
market, and how to model them.
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March 2010 |
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Euclide/Parisian Model Validation seminar : 1st edition
The 1st Parisian Model
Validation seminar was a complete success with more than 45
participants, mostly practitioners, and 2 outstanding
speakers:
The first speaker, Rama Cont, from CNRS and Paris 6
University, presented cutting-edge methods to compute
pertaining model risk measures for portfolio of derivatives,
with applications to the pricing of barrier options and index
equity options.
Alberto Elices, from the model validation team at Santander,
presented a very deep survey of best practices for Model
Validation, and also discussed how the crisis re-shaped and
re-sizes the activity of Risk and Model Validation teams. He
also presented a comparison of a Heston-based and of a
Vanna-Volga pricing and hedging strategy with full simulations
of the calibration, pricing and hedging process on the FX
market.
The cocktail/networking time was very cosy with vivid
discussions between professionals of french and european 1st
tier banks, of banking institutions, consultants and
technology providers.
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February 2010 |
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Louis Dreyfus Investment
Group selects the Zeliade Quant Framework 1.3.
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February 2010 |
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Claude Martini, founder
and CEO of Zeliade, is invited by the Tor Vergata University
in Roma to give 2 talks on the recent advances in stochastic
volatility and implied volatility models, to which Antoine
Jacquier (Imperial College and Zeliade) and Stefano De Marco
(University of Marne-la-Vallée, Univeristy of Pisa and
Zeliade) contribute.
The first talk, "HESTON 2010", loosely follows the
corresponding Zeliade White Paper: The Heston model (1993) has
emerged as the reference model among stochastic volatility
models. Despite being almost 20 years old, is has still very
recently been the topic of a blooming of deep studies, either
on theoretical properties of the model (especially the shape
of the volatility smile), or on numerical issues related to
the computation of option prices, and also on calibration. In
this talk we will present a summary of the recent theoretical
advances made by Andersen and Piterbarg, Jacquier and Forde,
Jacquier and Mijatovic, Tehranchi, and others. We will also
spot some theoretical open questions of practical importance.
The second talk, "KUDOS TO GATHERAL SVI MODEL", is about very
recent results on the relation between Heston and SVI, and on
the practical calibration of the SVI model: Jim Gatheral
(Merrill) has proposed in 2004 an explicit "model" for the
volatility smile, the "Stochastic Volatility Inspired" model.
Despite its parsimony, the fit of the SVI model to market data
is amazing. We will present 2 joint works with S.De Marco
(Pisa/Marne La Vallee and Zeliade) on the calibration of the
SVI model, and a recent work of Jacquier (Imperial and
Zeliade) and Gatheral which shows that the long-term Heston
volatility smile is exactly given by the SVI formula,
illuminating the original inspiration of Gatheral and making
of SVI the reference implied volatilty model.
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February 2010 |
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The Louis Bachelier
Institute, La Banque postale, the Telecom Institute and
Zeliade launch the Euclide/Parisian Model Validation seminar.
The seminar, to be held quarterly, will contribute to set up a
community of practitioners, technology providers, consultants,
academics, on the very rich and urgent topics of model risk
and model validation.
Each session will involve a theoretic talk, a practitioner
talk and a cocktail/networking time.
The seminar will be held in the beautiful premises of the Sup
Telecom french school in Paris.
For information and registration purposes: Contact us.
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January 2010 |
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Zeliade has a new White
Paper on Model Validation : "Model Validation: theory,
practice and perspectives" , co-authored with Patrick
Henaff, who leads the Euclide project at Telecom Bretagne and
former Head of Quant Commos at Merrill.
In July of 2009, the Basel Committee on Banking Supervision
issued a directive requiring that financial institutions
quantify model risk. The Committee further stated that two
types of risks should be taken into account: ``The model risk
associated with using a possibly incorrect valuation, and the
risk associated with using unobservable calibration
parameters''.
The resulting adjustments must impact Tier I regulatory
capital, and the directive must be implemented by the end of
2010. On the surface, this seems to be a simple adjustment to
the market risk framework, adding model risk to other sources
of risk that have already been identified within Basel II. In
fact, quantifying model risk is much more complex because the
source of risk (using an inadequate model) is much harder to
characterize. Twelve months away from the deadline, there is
no consensus on this topic. There is fortunately a growing
body of literature, both from the academia and the industry,
and the purpose of this paper is to summarize the development
of the notion of ``model risk'' and present the current state
of the art, before outlining open issues that must be resolved
in order to define a consistent framework for measuring model
risk.
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September 2009
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Zeliade sponsors the "Recent Advancements in the
Theory and Practice of Credit Derivatives" conference
September 28-30 2009, Nice, France
The recent decade witnessed a rapid development of more and
more advanced quantitative methodologies for modeling,
valuation and risk management of credit derivatives. The size
and complexity of the credit markets in general, and credit
derivatives markets in particular undoubtedly posed a
challenge for quantitative modelers and for market
practitioners.
The recent turmoil in the credit markets can be attributed to
many factors, but one of the factors is probably the fact that
in many respects the challenge has not been fully, and,
sometimes, properly addressed.
New solutions, both in terms of models and softwares are
therefore needed. Zeliade's products such as ZQF, a flexible
tool for pricing and risk management allowing the
implementation of new products and proprietary algorithms,
contribute to this renewal of financial solutions.
The conference, that addresses pending issues in the modelling
of credit derivatives, gathers the very best worlwide experts
of Credit risk, stemming altogether from the academic world
and prestigious practitioner teams.
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July 2009 |
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The Zeliade Quant Team
reports on recent advances in the Heston model of stochastic
volatility: Heston 2009
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May 2009 |
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The Zeliade Quant Team
reports on its research on the mechanisms underlying the
subprime crisis.
The report highlightens the importance of high correlation
regimes and systemic risks and contagion, in the context of
the liquid index tranches but also for European Prime RMBS and
SME securitizations. The results in the report have been
presented at the 2008 International Financial Research Forum,
Paris, March 27-28.
CDOs: How far should we depart from Gaussian
copulas?
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November 2008 |
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Zeliade presents at PRIT’08,
the major Ile-de-France innovation 2008 event.
Claude Martini presented the CRIS
platform within the slot "Pricing and Risk tools" of the Pôle
de compétitivité "Finance Innovation".
Zeliade is also selected by Microsoft IDEES, to be part of the
Microsoft booth, with a demo of its flagship product: Zeliade
Quant Framework.
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March 2008 |
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Zeliade implements the
Credit library at BlueCrest Capital Management LP
Zeliade announced today
that it implemented a state-of-the-art multi-name credit
library providing pricing and risk analysis for multi-name
Credit portfolios at BlueCrest Capital Management LP, a
leading European hedge fund manager with approximately $14.5 B
under management.
"Our business has very
high standards, and we expected the same from Zeliade Systems.
We foremost appreciated their result driven approach. They
could only do so by assembling a small, but most importantly
flexible team that combined IT, numerical and financial
skills. Zeliade worked efficiently with our top Quants and
proved very reactive and flexible in our demands. As a result,
they were able to deliver a customized library with
performances that exceeded other packages", says Farid
Amellal, Co-Head of the Multi Strategy Credit Strategy, from
BlueCrest Capital Management LP.
"BlueCrest Capital
Management LP is a typical case where Zeliade comes in during
the set-up phase of a high-profile Investment Fund. We were
pleased to collaborate with BlueCrest from the outset. Our
team and BlueCrest's collaboration was very efficient and
complementary, allowing both teams to complete this ambitious
project in record time", says Claude Martini, Zeliade Systems
CEO.
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March 2008 |
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CRIS consortium funding
approved
CRIS consortium has been selected for funding by government
agencies.
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December 2007 |
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Risk Magazine lists
Zeliade Systems in its annual software survey
The survey details the latest developments in technology for
derivatives pricing, trading and risk management.
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November 2007 |
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The "Pôle de compétitivité" "Finance Innovation" approves CRIS.
CRIS is a platform for independent valuation and risk
management of credit derivatives.
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April 2007 |
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Zeliade announces a
partnership with CMA
CMA (www.cmavision.com) is a credit information specialist.
CMA provides credit market pricing data and intra-day services
which increase productivity, efficiency and speed of
transactions.
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January 2007 |
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Zeliade has been selected
by Microsoft France to be part of IDEES
Zeliade has been selected among 300 ISVs by Microsoft France,
to be part of IDEES, an initiative to support high potential
French ISVs, that grants Zeliade technological, marketing and
sales support, in France and abroad.
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December 2006
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Risk Magazine lists
Zeliade Systems in its annual software survey that details the
latest developments in technology for derivatives pricing,
trading and risk management.
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December 2006 |
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Zeliade Systems and
Markit have entered into a strategic partnership
This partnership allows Zeliade Systems to integrate
Markit’s CDS data with their flagship product Zeliade Credit
Analytics. Markit CDS data is available in Zeliade Systems’
products through a dedicated Market data management module
that enables, with a single click, selective data extractions
from external data providers, in particular from Markit.
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May 2006 |
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Ixis-AM, a major Asset
Manager, chooses Zeliade Systems as a supplier of tools and
services
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May 2006 |
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Aleva, a leading Pension
Fund Advisor, chooses Zeliade Systems as a supplier of a risk
assessment tool
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April 2006 |
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The
Stochastic Processes and their Applications journal publishes
an article by F. Patras from Zeliade Systems
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February 2006 |
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Natexis Banque Populaires,
a major French Bank, chooses Zeliade Systems as a supplier of
tools and services
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November 2005
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Zeliade Systems releases 2 white papers on CDO pricing
algorithms and calibration:
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October 2005 |
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JPLC, a credit derivatives consulting boutique, and Zeliade
Systems are announcing a partnership
The partnership was set up to develop synergies around
business development, know how and tools. JPLC was founded by
Jean-Pierre Lardy, former credit derivatives and credit
portfolio Managing Director for JP Morgan, who brings in
extensive market experience
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June 2005 |
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Nexgen Financial
Solutions, a large asset manager, chooses Zeliade Systems as a
supplier of tools and services
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June 2005 |
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Zeliade Systems sponsors
the 2-day conference on "Capital Structure Arbitrage". F.
Patras was a keynote speaker for Zeliade discussing
"Correlation Issues in Structural Models: the example of
default swaps on two credit instruments"
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February 2005
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Zeliade Systems signs a sponsoring contract with the
Department of Finance of Evry University
The contract supports research targeted on credit derivatives
as well as a conference on capital structure arbitrage
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November 2004 |
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Riskedge
and Zeliade Systems are setting up a broad partnership
The partnership is aimed at developing synergies around tools
and business opportunities in risk management focusing on
corporates. Founded by Capital Markets experienced
professionals Eric BOULOT and Jean-Nicolas HUTIN, Riskedge is
a consultancy advising large and medium-sized companies on how
to best manage their financial risks.
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September 2004 |
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Dexia, a major European
Bank, chooses Zeliade Systems as a supplier of tools and
services
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