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).

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.

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

Zeliade successfully completes independent model review of Cross Currency Swap pricers for LCH SwapAgent.

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.

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.

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

LCH selects Zeliade for the independent review of its margin model

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

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.

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.

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

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.

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

CRC selects Zeliade products and services.

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.

Athena Capital selects Zeliade products and services.

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

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.

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.

Aurion selects Zeliade products and services

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

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.

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

Release of Zeliade Quant Framework V1.6

Oddo & Cie selects Zeliade products and services

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

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

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

Quantumwave selects Zeliade products and services

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

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

Louis Dreyfus Investment Group selects the Zeliade Quant Framework 1.3.

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.

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.

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.

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.

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

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

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

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.

Release of ZQF V1.2 - Newsletter 2

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

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

Zeliade has become a certified Microsoft partner.

Zeliade Systems announces a partnership with Digipede.

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

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

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

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

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"

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"

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"

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

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"

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