Analytics & Pricing:
Pricing financial assets ranges from liquidity to illiquid assets; equity to corporate bonds and financial derivatives to complex structured products is no easy task. ACM Pricing provide valuations, analytics, and support services that you can use to manage your portfolio of complex and illiquid securities and to respond effectively to questions from management, auditors, and regulators.
ACM employ mathematical and statistical models to price complex derivatives and estimate risk of portfolios for our clients. ACM Analytic primarily relies on combining simulation models, most notably Monte Carlo simulation models, and optimization models to create dynamic scenarios for the client. The quant specialist’s team can provide you with support on a range of issues relating to the valuation of these products; these include:
- Analyses and assess risk of vanilla and complex equity, fixed income, and financial derivatives.
- Test, calibrate, and validates models to ensure their accuracy and usefulness as decision making tools.
- Develop independent model inputs and assumptions and selection of optimal testing techniques.
- Develop cash flow model that incorporate market and project factors, such as loan term and structures, and capital market forecasts (inflation and interest rates).
- Assess both model performance with respect to discriminatory power, stability and calibration; and risk management processes.
- Support in the development and modification of new and existing financial mathematical models for trading strategies and risk management.
- Set-up of applications for pricing and risk management of structured products based on either bespoke or commercially available tools.
- Building quantitative models to value derivatives, including credit derivatives and fixed income, equity and commodity linked structured products
- Developing asset allocation and hedging models for equity and fixed income portfolios, using linear and non-linear optimization techniques and dynamic programming.
- Building asset-liability models (ALM) and risk-budgeting models
- Building quantitative models of market risk and credit risk for asset portfolios.
ACM target clients include African banks, insurance companies, pension fund administrators, asset managers, energy, oil & gas, central banks and capital market regulators and professionals.
ACM trainings offers bespoke and tailor-made training levels for equity, fixed income traders, fund managers, risk managers, product and derivatives structurers, insurers, regulators etc. in the areas of:
- Excel™, VBA, Visual Basic and C++ code writing to create front end risk and fixed income and equity and derivatives pricing engines.
- Market and Credit Risk Analysis.
- Vanilla and Exotic Options pricing.
- Structured Products pricing and analysis
- Portfolio Optimization and Asset Allocation
We have experience across every market, be it FX, fixed income, credit, or commodity. We also offer custom valuation methodologies that can be utilised at your discretion and our model are excel-based and user friendly.
