/muRisQ-basics

muRisQ Advisory: Basic elements of the quantitative analysis libraries.

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muRisQ-basics by Marc Henrard

muRisQ Advisory open source code with basic implementations.

muRisQ stands for Management of Risk by Quantitative methods. The term risk management has to be understood in a large sense which includes risk strategies, ALM, quantitative impacts of regulation, and trading strategies.

You can find more details about our consulting and advisory services on our website muRisQ Advisory - Email: info@murisq.com

muRisQ Advisory is managed by Marc Henrard. You can find more about his contribution to quantitative finance through his papers and his blog:

Repository content

This repository proposes foundation code to be used for several asset classes and for analysis.

The models implemented are based on proprietary research and academic literature as described in each implementation.

Comments and suggestions for improvements are welcome.

Foundations

Some code proposed in this repository is based on OpenGamma Strata (version 2.7.0) library: http://strata.opengamma.io/

Professional services

The models proposed here are only a small part of the code I developed or have access to for research and advisory services purposes. Don’t hesitate to contact me if you are interested by other models, require advisory services or are looking for a training around similar models.

Trainings and workshops

We propose in-house training and workshops on subjects related to quantitative finance and risk management.

We offer extensive flexibility on the training organization.

A in-house tailor-made course with our experts presented to your full team often cost less than sending two people to a standard course organized by a large training firm.

Agenda tailored to your needs. Detailed lecture notes. Associated to open source code for practical implementation. Training in English or French

Some of the popular courses are (course description and typical agendas available through the links):

Some recent public courses:

  • Workshop Multi-curve and collateral framework. One day workshop at The 10th Fixed Income Conference (Barcelona, Spain), September 2014.
  • Collateral, regulation and multi-curve. Belfius Financial Engineering Fund Workshop at KUL/Leuven University (Leuven, Belgium), December 2017.
  • Workshop Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements. LFS Workshop (London, UK), September 2018.
  • Workshop The future of LIBOR: Quantitative perspective on benchmarks, overnight, fallback and regulation. Finans Foreningen workshop (Copenhagen, Denmark), 24 January 2019.
  • Workshop Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements. LFS Workshop (New York, USA), 25-26 March 2019.
  • Workshop Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements. LFS Workshop (Singapore), 3-4 April 2019.
  • Workshop Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements. LFS Workshop (London, UK), 23-24 September 2019.
  • Workshop The future of LIBOR: Quantitative perspective on benchmarks, transition, fallback and regulation. The 15th Quantitative Finance Conference - WBS (Italy, Rome), 16 October 2019.
  • Workshop Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements. LFS Workshop (Singapore), 4-5 November 2019.
  • Workshop Benchmarks in transition: Quantitative perspective on benchmarks, transition, fallback and regulation.. Interest Rate Reform Conference (A Quant Perspective) - WBS (London, UK), 4 March 2020.
  • Workshop Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements. LFS Workshop (London, UK), May 2020 and June 2020.
  • Course Martingales and Fixed Income Valuation, CQF Module 5. CQF Institute (London, UK), May 2020 and November 2020.
  • Multiple in-house courses for commercial banks, central banks, hedge funds, international financial organisations, etc. We have provided public and in-house workshops/courses/seminars in Africa, America, Asia, Europe, and Oceania (special discount for any client base in Antarctica!).

Advisory

  • Developments
    • Multi-curve and collateral framework. Collateral discounting, impact of CSA, multi-curve calibration, new benchmarks, cheapest-to-deliver
    • Benchmarks: valuation of instruments indexed on new benchmarks, LIBOR transition and discontinuation, LIBOR fallback analysis and solutions, overnight benchmarks (RFR) transition, CCP discounting switch, valuation impacts, risk management, ALM, cost of protocol, discounting big bang. Some of our tools related to LIBOR fallback and LIBOR discontinuation are described in our [Fallback Transformers pages] (https://murisq.blogspot.com/2018/10/libor-fallback-transformers.html).
    • Interest rate models: Term structure models, smile, negative rates, stochastic spreads.
    • Exchange traded instruments: Development of exchanged traded instruments, detailed term sheet, regulatory approval, CCP's risk management procedures.
    • Margin methodologies: Variation and Initial Margin methodologies design. Review and implementation of methodologies used by CCPs (replication). Bilateral margin methodologies.
    • Simulation: Model implementation for efficient simulation, xVA underlying models
    • Code: Large quant libraries available to price and risk manage interest rate books
  • Risk management
    • Hedging strategies (design and back testing)
    • Value-at-Risk
    • Variation Margin efficient implementation
    • Initial margin models (CCP and bilateral): replication, attribution, MVA
    • Valuation/VM dispute analysis
    • Expert witness
  • Model validation
    • Flow instruments: Multi-curve framework, collateral impact, CSA review, CSA negotiation.
    • Term structure: Multi-factors models; stochastic spreads.
    • VaR: Parametric, historical, Monte Carlo.
    • Smile: Swaption, cap/floor, negative rates, extrapolation.
    • White paper: Independent assessment of new products and services.
  • Regulatory impacts
    • Assessments: Impact assessments for derivative users.
    • Bilateral margins: Quantitative impacts of uncleared margin regulation (UMR), bilateral margin methodologies, ISDA and regulatory SIMM computations.
    • Compression: Exposure reduction, portfolio compression
    • Business strategy: cleared v uncleared OTC derivatives, cost of trading, access to market infrastructure
    • Regulatory consultative documents: Comments on consultative documents.
    • Negotiation: Negotiations for efficient access to markets

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