Iggaak assisted the asset management departement of a major State-owned banking group in exploring new systematic management strategies whose superiority is demonstrated via back testing over a simple passive holding of securities in proportion to their capitalization in liquid indexes. Iggaak managed the project to deliver functional Jupyter Notebooks with Python/c++ implementation of trading algorithms based on multi-scale analysis (fractal properties of prices, calculation of generalized Hurst coefficients), as well as a back testing tool on listed shares datasets.
Financial Services XVA
Best practices for XVA calculation, P&l explain and hedge
As part of the development of the Investment Bank of a large public bancassurer, XVA materiality has been continuously increasing, leading the Bank to seek best practices in management, hedging and measurement of residual risks. Read more…