brief description of the services provided by Iason ltd

1. Company & Services
Provided
September 2008
© 2008 Iason Ltd.
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2. index
Company & Services provided
Introduction
Iason: the company
Our understanding
Our response
Our solutions
Why Iason?
© 2008 Iason Ltd.
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3. introduction
Company & Services provided
This document describes Iason’s innovative approach in offering a wide
range of services to Banks, Insurance and Financial Institutions, in terms
of business development, problem solving and independent consultancy
The quality of the services provided is guaranteed by a broad expertise
matured by tackling and solving practical issues, while working in primary
financial institutions
Iason brings the right mixture of experience and theoretical knowledge as
far as practical strengths and quantitative skills are concerned
© 2008 Iason Ltd.
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4. iason: the company
Company & Services provided
Iason is a company created by market practitioners, financial quants and
programmers with valuable experience achieved in dealing rooms of financial
institutions
Iason offers a unique blend of skills and expertise in the understanding of
financial markets and in the pricing of complex financial instruments
The company’s structure is very flexible and grants a fully bespoke service
to our Client
Its flexibility and its mix of people that implement innovative solutions
and test their suitability in real market environments, are the
distinguishing features of Iason
To guarantee a high standard for the services provided, we established a
Research Committee whose efforts are devoted to the development of updated
financial theory to price new instruments traded in the market and to
analyze the risks related to them
Stuck to these principles, we entrusted Fabio Mercurio, Ph.d, to lead our
Mercurio
Research Committee
For more information, please visit our website www.iasonltd.com or contact
us via e-mail at info@iasonltd.com
© 2008 Iason Ltd.
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5. our understanding (1/2)
Company & Services provided
Proactive organizations are moving beyond the minimum requirements of
compliance to gain more awareness into their business approaches and
operations
At the same time, to make better market positioning, organizations have to
develop such sophisticated products that their risks must be accurately
monitored
For this reason, our understanding is based on:
SERVICES
OFFER KNOWLEDGE CLIENT SIDE
PROVIDED
Range of consulting Combining state-of-
Result of research
services related to the-art knowledge
performed by
asset valuation, of quantitative
practitioners who … achieving
derivatives finance research
have produced many benefits
pricing, risk with practical
original and
measurement and experience in
significant
other quantitative financial companies
contributions to … reliable partner
finance and other business
quantitative
organizations
finance theory and
its application
© 2008 Iason Ltd.
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6. our understanding (2/2)
Company & Services provided
… achieving benefits
getting a vanguard trading and revaluation methodology
our Client wishes to ■
helping build and enrich its product offer in a multi
achieve the following ■
business environment
benefits:
co-operating with a partner that
■
- understands the Client’s needs
- provides effective solutions
- ensures quick delivery
- develops new capabilities
… reliable partner
offers independent, extensive and high-quality services
to pursue these ■
transfers the necessary market’s know-how and
targets, our Client ■
theoretical knowledge
looks for a reliable
ensures solution implementations that smoothly fit into
partner that: ■
the Client’s organization
© 2008 Iason Ltd.
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7. our response
Company & Services provided
Iason’s approach is based on:
projects are usually split in three-month deliverables plans,
Fast Delivery
thus making them as flexible as possible and easy to evaluate in
their pay-back period
prices are set on a fixed cost basis, possibly for each stage of
Fixed Price
the project, thus allowing for the estimation of the true cost
since from the start
projects can be accomplished in a way that best integrates
Flexible
internal skills and capabilities with Iason’s, so as to isolate
Implementation
the actual value-added contribution
most updated know-how and theoretical knowledge are provided to
Know-how and
the Client by direct training and documentation
Knowledge
Transfer
© 2008 Iason Ltd.
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8. solutions (1/3)
Company & Services provided
Delivering innovative results requires practical experience as well as
knowledge. Within this scope Iason provides:
Cutting edge ready-to-use financial libraries with basic to advanced functionalities and
■
pricing tools which have been in financial markets for market making and
quantitative
hedging
resources and
interest rates curve management and bootstrapping
modeling ■
- Curves definitions in accordance with the instruments to be priced
consulting
- Convexity bias
services
volatility surfaces and cubes definition for
■
- FX, Equity, Interest rates/Inflation rates (Caps&Floors, Swaptions,…)
consistent interpolation/extrapolation tools for available market data
■
support to the valuation of complex derivatives according to the most
■
advanced market practices that include all relevant risk factors:
- Interest rates derivatives: CMS, CMS spread options, Vol Bonds, MinMax
bonds, TARNs, …
- FX derivatives: FX Basket, long dated FX structures,…
- Equity derivatives: Best/Worst of, Himalayan, Napoleon, Cliquet,…
Credit Derivatives
■
- Cash CDO’s
- Synthetic CDO’s – Corporate – ABS – CDO^2 (square)
- Leverage Super Senior
Loans CDO’s
-
Covered Bonds
© 2008 Iason Ltd.
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9. solutions (2/3)
Company & Services provided
Learned analysis, setting and test of systems functionalities for risk
■
resources in management (VaR, MLC), trade workflow, market operations workflow,
new reporting, confirmations, user rights, volatilities, yield curves
analysis, definition and development outstanding deals and open
generation ■
positions migration approach from system to system
systems
support and business requirements analysis
■
development ability to append on the systems new payoffs, interchanging models
■
and more generally numerical methods to find appropriate pricing
methodology and evaluate model risk
combining of existing products of hybrids
■
structuring new trades and test trade ideas
■
testing of systems components
■
© 2008 Iason Ltd.
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10. solutions (3/3)
Company & Services provided
A second line of services support Bankers and Financial Risk Officers in
measuring the risks related to their positions and calculating the fair
value of their derivatives portfolios, such as:
aimed at institutions not interested in building a trading and risk
Revaluation ■
management system, but simply needing a fair revaluation
of
delivered on demand or on a periodic basis (e.g. for accounting and
Derivatives ■
risk monitoring purposes)
Books
based on provided Market Data (rates, prices, volatilities,
■
correlations, ...) with certified fairness
scenario analysis and worst case scenario
Risk ■
historical and statistical VAR, backtesting
Assessment ■
simulations to optimize instruments, quantity and timing for hedging
and VAR ■
strategies, futures rolls, …
market risk, credit risk, counterparty risk measures
■
approaches to measuring and reporting on regulatory risk exposure of
Risk and ■
a complex derivatives portfolio
Performance
optimal funding strategies and performance measurement methodologies
Management ■
internal transfer pricing, risk transfer and performance measurement
■
systems including risk management policies and procedures
© 2008 Iason Ltd.
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11. why iason (1/2)
Company & Services provided
Just a few reasons to choose Iason as a partner:
support to internal quantitative departments to develop, in an
Easily ■
efficient and fast way, new tools, models and methods to price and
Available
manage complex derivatives
Advanced
supply know-how in market practices not typically covered by the
Skills ■
financial institution
availability of the best and most valuable knowledge developed in
■
the market
access to pricing models used by practitioners
■
skipping scale economy considerations regarding to the setting up of
■
a complete quantitative department
outsourcing of the quantitative department in a quick and cost
■
effective way
independent valuation offers a supplementary check to the Control
Deeper ■
Department and the General Management and it also provides a
awareness of
confirmation of the correctness of the internal pricing models
the risks
traders behaviour can be better evaluated and possible misconducts
■
detected
© 2008 Iason Ltd.
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12. why iason (2/2)
Company & Services provided
Just a few reasons to choose Iason as a partner:
More exact pricing of complex structures grants a good starting point in
■
Bargaining bargaining with the major market makers
Power fair pricing is even more important when the structure has to be
■
partially or totally sold back: in this case the market maker usually
is not in competition with other institutions
Compliance independent revaluation of the portfolios is required by current
■
with the accounting rules and regulation (IAS39, FA133 and Basel II, MIFID,
Regulation SOLVENCY II)
authorities require the correct assessment of the risk born by the
■
institution and the consistency of the adopted pricing models
© 2008 Iason Ltd.
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