Financial Services

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. In addition, Iggaak advised the bank on CVA/DVABasel IV regulatory developments.

By Iggaak, 2 years24/01/2023 ago

Algorithmic Trading Financial Services

Algorithmic trading based on multi-scale analysis

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 Read more…

By Iggaak, 4 years29/06/2021 ago