26 June 2017
News/whitepapers
 

 

Jan 2017

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.

Oct 2016

OTC Clearing Hong Kong Limited selects Zeliade for the independent review of its margin model

Sept 2016

LCH selects Zeliade for the independent review of its margin model

Sept 2015

LCH.Clearnet SA selects Zeliade for the independent review of its margin models

July 2015

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.

June 2015

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.

March 2015

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.

March 2015

OBCAP (Observatory Capital Management LLP) selects the ZQF library.

January 2015

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.

October 2014

Ismail Laachir, Head of Commodities at Zeliade, presents his joint work with Pr. Francesco Russo and Pr. Patrick Hénaff on Gas storage valuation and hedging. A quantification of model risk in the poster session of the Gaspard Monge Program for Optimization - Conference on Optimization & Practices in Industry

September 2014

CRC selects Zeliade products and services.

June 2014

Ismail Laachir, Head of Commodities at Zeliade, presents his joint work with Pr. Luciano Campi and Claude Martini (CEO of Zeliade) on the Change of numeraire in the two-marginals martingale transport problem , in the poster session of the Labex Louis Bachelier - SIAM-SMAI Conference on Financial Mathematics: Advanced Modeling and Numerical Methods
This work is partially funded by the Isotace french ANR project.

May 2014

Athena Capital selects Zeliade products and services.

March 2014

Ismail Laachir, Head of Commodities at Zeliade, speaks at the International Symposium on Energy and Finance Issues in Paris, jointly organized by IPAG Business School, EconomiX (University of Paris West Nanterre La Dfense and CNRS) and CGEMP (University of Paris Dauphine). Ismail presents his joint work with Pr. Francesco Russo and Pr. Patrick Hénaff on Gas storage valuation and hedging. A quantification of model risk

February 2014

Ismail Laachir, Head of Commodities at Zeliade, speaks at the International Conference on Commodity Markets in Paris, organized by the ESG Management School. Ismail presents his joint work with Pr. Francesco Russo and Pr. Patrick Hénaff on Gas storage valuation and hedging. A quantification of model risk.

February 2014

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.

October 2013

Aurion selects Zeliade products and services

September 2013

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.

July 2013

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.

July 2013

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.

March 2013

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.

September 2012

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.

August 2012

Mark Sinsheimer, CFA , CAIA joins Zeliade in charge of business development.

July 2012

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.

June 2012

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.

April 2012

Zeliade renews Microsoft Partner Certified Program for the fifth consecutive year.

March 2012

Release of Zeliade Quant Framework V1.6

March 2012

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

February 2012

Oddo & Cie selects Zeliade products and services

January 2012

Zeliade has a new White Paper on the new trends in the art and science of model calibration

January 2012

Zeliade White Paper on Model Validation is published in the Journal of Risk Model Validation, Volume 5/Number 4

December 2011

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

December 2011

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

March 2011

Quantumwave selects Zeliade products and services

February 2011

Frédéric Patras, Head of Quants at Zeliade, has a new book on Credit Risk with Tom Bielecki and Damiano Brigo: Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

February 2011

Zeliade updates the reference White Paper on the Heston model: Heston 2010

November 2010

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).

October 2010

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).

October 2010

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”.

September 2010

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.

May 2010

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.

March 2010

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.

February 2010

Louis Dreyfus Investment Group selects the Zeliade Quant Framework 1.3.

February 2010

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.

February 2010

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.

January 2010

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.

September 2009

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.

September 2009

Zeliade is the Gold sponsor of "the 2nd Marcus Evans Annual Pricing Model Validation: Mitigating Model Risk" ,17th & 18th September 2009, London.

August 2009

Implied Volatility models have became very popular. The Zeliade Quant Team has a new calibration algorithm for Gatheral’s SVI model: Quasi-Explicit Calibration of Gatheral’s SVI model

July 2009

The Zeliade Quant Team reports on recent advances in the Heston model of stochastic volatility: Heston 2009

May 2009

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?

November 2008

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.

November 2008

Release of ZQF V1.2 - Newsletter 2

June 2008

Zeliade sponsors the "2nd Annual Pricing and Valuation of Structured Credit" Marcus Evans conference

March 2008
Zeliade implements the Credit library at BlueCrest Capital Management LP
March 2008
CRIS consortium funding approved
February 2008

The CRIS Consortium has been set up to provide a platform for independent valuation and visk management of credit derivatives

December 2007
Risk Magazine lists Zeliade Systems in its annual software survey
November 2007

Zeliade has become a certified Microsoft partner.

November 2007
The "Pôle de compétitivité" "Finance Innovation" approves CRIS.

Novembre 2007

Zeliade Systems announces a partnership with Digipede.

April 2007
Zeliade announces a partnership with CMA
January 2007
Zeliade has been selected by Microsoft France to be part of IDEES
December 2006

Risk Magazine lists Zeliade Systems in its annual software survey that details the latest developments in technology for derivatives pricing, trading and risk management.

December 2006
Zeliade Systems and Markit have entered into a strategic partnership
May 2006

Ixis-AM, a major Asset Manager, chooses Zeliade Systems as a supplier of tools and services

May 2006

Aleva, a leading Pension Fund Advisor, chooses Zeliade Systems as a supplier of a risk assessment tool

April 2006
The Stochastic Processes and their Applications journal publishes an article by F. Patras from Zeliade Systems
February 2006

Natexis Banque Populaires, a major French Bank, chooses Zeliade Systems as a supplier of tools and services

January 2006

Banques & Marchés publishes an article by F. Patras from Zeliade: "Correlation and defaults: valuation of first-to-default swaps in a multi-name model a la Lardy-Finkelstein"

November 2005
Zeliade Systems releases 2 white papers on CDO pricing algorithms and calibration:
October 2005
JPLC, a credit derivatives consulting boutique, and Zeliade Systems are announcing a partnership
September 2005

Zeliade Systems is a keynote speaker at the "Stochastics Methods in Mathematical Finance" conference at the University of Rome La Sapienzia, covering the following theme: "Correlation in the credit risk market: current trends and problems"

September 2005

Bielecki, Rutkowski, Jeanblanc, Crépey are publishing a research article sponsored by Moody's and Zeliade: "Valuation of Basket Credit Derivatives in the Credit Migration Environment"

June 2005

Nexgen Financial Solutions, a large asset manager, chooses Zeliade Systems as a supplier of tools and services

June 2005

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"

February 2005
Zeliade Systems signs a sponsoring contract with the Department of Finance of Evry University
November 2004
Riskedge and Zeliade Systems are setting up a broad partnership
September 2004

Dexia, a major European Bank, chooses Zeliade Systems as a supplier of tools and services

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