Iason is a consulting company created by financial professionals to provide services related to asset valuation, derivatives pricing, risk measurement, and quantitative finance. It offers flexible consulting services using practitioners' expertise in financial markets and state-of-the-art quantitative models. Iason's services include portfolio revaluation, risk assessment, model development, and regulatory compliance support.

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 Result of research Combining state-of-
services related to performed by the-art knowledge
asset valuation, practitioners who of quantitative … achieving
derivatives have produced many finance research benefits
pricing, risk original and with practical
measurement and significant experience in
other quantitative contributions to financial companies … reliable partner
finance quantitative and other business
finance theory and organizations
its application
© 2008 Iason Ltd.
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6. our understanding (2/2)
Company & Services provided
… achieving benefits
our Client wishes to ■ getting a vanguard trading and revaluation methodology
achieve the following ■ helping build and enrich its product offer in a multi
benefits: business environment
■ co-operating with a partner that
- understands the Client’s needs
- provides effective solutions
- ensures quick delivery
- develops new capabilities
… reliable partner
to pursue these ■ offers independent, extensive and high-quality services
targets, our Client ■ transfers the necessary market’s know-how and
looks for a reliable theoretical knowledge
partner that: ■ ensures solution implementations that smoothly fit into
the Client’s organization
© 2008 Iason Ltd.
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7. our response
Company & Services provided
Iason’s approach is based on:
Fast Delivery projects are usually split in three-month deliverables plans,
thus making them as flexible as possible and easy to evaluate in
their pay-back period
Fixed Price prices are set on a fixed cost basis, possibly for each stage of
the project, thus allowing for the estimation of the true cost
since from the start
Flexible projects can be accomplished in a way that best integrates
Implementation internal skills and capabilities with Iason’s, so as to isolate
the actual value-added contribution
Know-how and most updated know-how and theoretical knowledge are provided to
Knowledge the Client by direct training and documentation
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
quantitative pricing tools which have been in financial markets for market making and
resources and hedging
modeling ■ interest rates curve management and bootstrapping
consulting - Curves definitions in accordance with the instruments to be priced
services - Convexity bias
■ 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
generation ■ analysis, definition and development outstanding deals and open
systems positions migration approach from system to system
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:
Revaluation ■ aimed at institutions not interested in building a trading and risk
of management system, but simply needing a fair revaluation
Derivatives ■ delivered on demand or on a periodic basis (e.g. for accounting and
Books risk monitoring purposes)
■ based on provided Market Data (rates, prices, volatilities,
correlations, ...) with certified fairness
Risk ■ scenario analysis and worst case scenario
Assessment ■ historical and statistical VAR, backtesting
and VAR ■ simulations to optimize instruments, quantity and timing for hedging
strategies, futures rolls, …
■ market risk, credit risk, counterparty risk measures
Risk and ■ approaches to measuring and reporting on regulatory risk exposure of
Performance a complex derivatives portfolio
Management ■ optimal funding strategies and performance measurement methodologies
■ 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:
Easily ■ support to internal quantitative departments to develop, in an
Available efficient and fast way, new tools, models and methods to price and
Advanced manage complex derivatives
Skills ■ supply know-how in market practices not typically covered by the
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
Deeper ■ independent valuation offers a supplementary check to the Control
awareness of Department and the General Management and it also provides a
the risks confirmation of the correctness of the internal pricing models
■ 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
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