Global Bank and Treasury Division

About Project

Price analysis, VaR analysis and validation of movements, Incremental risk analysis for potential trades

Activities done

• Valuation of OTC-IRS Swaps, Swaptions, and Interest rate products
• Valuation of Equity Hybrids using NUMERIX
• Valuation of Barriers, New York Cliquets, Variance swaps, Volatility Swaps