Areas of expertise

Alef Analytics combines deep expertise in quantitative finance, from pricing models and methods across asset classes and instruments to XVA and risk modelling, with robust technical capabilities and strong vendor platform knowledge.

See our expertise at work

Asset classes and instruments

Experience with a wide range of financial instruments covering all asset classes from linear and vanilla trades to exotics.

  • Interest rates: swaps, cross-currency swaps, range accruals, caps and floors, swaptions, Bermuda swaptions, etc.
  • Foreign exchange: forwards and FX swaps, vanilla options, barrier and touch options, FX TARF, etc.
  • Equity: forwards, European and American options, autocalls, etc.
  • Commodities: commodity swaps, Asian options, TARN, etc.
  • Credit: credit default swaps and credit linked notes, etc.
  • Inflation: year-on-year and zero-coupon swaps and caps.
  • Security financing transactions: Repos and total return swaps, etc.

Valuation models and methods

Broad coverage of pricing models and numerical methods:

  • Curves and volatility modelling:
    • Curve calibration and interpolation.
    • Volatility surfaces construction and interpolation (e.g. SABR).
  • Pricing models:
    • Calibration on market instruments.
    • Single and multifactor models (e.g. Hull-White, HJM, forward market model, local and stochastic volatility)
    • Sensitivities to market data and model parameters.
  • Numerical methods:
    • Closed-form evaluation.
    • Monte Carlo simulation.
    • American Monte Carlo.
    • PDE numerical resolution.

XVA valuation adjustments

Expertise in XVA modelling:

  • Model calibration.
  • Risk-factors diffusion.
  • Forward market value and sensitivities grids.
  • Variation margin modelling.
  • Dynamic initial margin modelling (cleared and bilateral using ISDA SIMM™).
  • Aggregation and XVA metrics, including CVA with wrong way risk (WWR).
  • XVA sensitivities and hedging.
  • Trade-level allocation of XVA for accounting (IFRS13) and risk-adjusted performance attribution.
  • XVA P&L attribution.
  • CVA capital charge.

Financial risk modelling

Counterparty credit risk modelling:

  • Historical calibration of diffusion models.
  • Monte-Carlo simulated measures: PFE, Effective EPE, etc.
  • Backtesting of risk factor evolution (RFE), and of trade-level and portfolio-level PFE.
  • CCR capital charge (SA-CCR).

Market risk modelling:

  • Value at risk (VaR) computation, including historical, Taylor-based and parameteric VaR.
  • Risk not in VaR (RNIV) analysis.
  • Stress testing and scenario analysis.
  • Market risk capital charge (FRTB SA and IMA approaches).
  • Backtesting and P&L attribution.

Technical stack

Robust technical stack to deliver production-grade analytics:

  • Programming languages and frameworks:
    • Python (Numpy, Pandas, Scipy, etc.).
    • R (data and statistical analysis).
    • C++.
    • Django (web applications).
  • Engineering practices:
    • Git-based version control.
    • Linux environments.
    • Automated testing and validation workflows.
  • Open-source quantitative finance libraries:
    • QuantLib.
    • Open-source Risk Engine (ORE).

Murex MX.3 platform

Deep expertise on the Murex MX.3 platform:

  • Curves and volatility setup:
    • Underlying instruments setup, and calibration.
    • Interpolation methods.
  • Pricing models parametrization and calibration:
    • Native pricing of linear and vanilla trades.
    • Exotics pricing using the MACS (Murex AnalytiCS) library.
    • Exposure and XVA models.
  • Risk, collateral and regulatory computations:
    • VaR module.
    • SA-FRTB.
    • PFE module.
    • SA-CCR.
    • ISDA SIMM.