QuantSOS specialises in the independent validation of Murex’s models for front office pricing and risk calculations. By leveraging repeat validations to automate and streamline processes it is able to deliver validations in a more efficient (and therefore more cost-effective) manner than generalist competitors can.
Each member of the QuantSOS team has more than a decade of experience as a quantitative analyst supporting the Trading and Treasury functions at global financial institutions. They have previously worked directly on the following types of model validations:
● Interest Rate – Yield Curves, OIS/CSA Discounting, Vol Surfaces (Cap/Floor and Swaption), SABR Vol Surfaces, Black76, Hull-White 1-Factor, CMS Replication, Markov Functional, Libor Market Model
● FX – FX Forward Point Curves, Implied Vol Surfaces, Local Vol Surfaces, Black-Scholes
● Equity – Equity Curves, Implied Vol Surfaces, Black-Scholes
● Hybrid – Hull-White N-Factor with Deterministic/Quadratic/CEV vols
● Inflation – Zero Coupon and YoY Curves, Seasonality, Zero Coupon and YoY Vol Surfaces, Jarrow-Yildirim
● Credit – Credit Curves and CDS Models
● Fixed Income – Bond Curves, Yield to Price, Price to Yield and Asset Swap Margin Models
● Payoff Specific – Verifying that payoff scripting and integration with underlying stochastic models is producing correct valuations and sensitivities
Company Details
- Founded
- -
- Address
- 127 Boulevard De Ménilmontant, Paris,île-De-France 75011,france
- Industry
- Financial Services
- NAICS
-
Finance and InsuranceMonetary Authorities-Central Bank
- Website
- http://www.quantsos.com
- Keywords
- Model Validation, Financial Modeling, Quantitative Analysis, Derivatives, Valuation, Sensitivities, C++, C#, Murex.
- HQ
- Paris, Île-de-France
- Competitors
- Commonwealth Bank, TeamTek.
Quantsos Questions
Quantsos's website is http://www.quantsos.com
Quantsos's LinkedIn profile is https://fr.linkedin.com/company/quantsos
Quantsos's industry is
Financial Services
Quantsos's top competitors are
Commonwealth Bank,
Teamtek.
Quantsos's categories are Financial Services
Quantsos's founding year is 2017
