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Quantitative Analytics

Our Quantitative Analytics team is staffed with PhDs, Post Graduates in math and statistics and MBA Finance. The team supports a broad range of sophisticated functions, covering the U.S., EMEA, Asia and Australia.

Our research activities cover Credit Rates & Research, Derivatives, Equities, Risk Analytics, Indices etc. Some of the work done includes:

  • Build relative valuation screens to track and identify mispriced issues
  • Develop quant models to estimate forward curves and z-spreads
  • Price verification of structured products using quant models across asset classes - equities, bonds, rates, currencies and commodities
  • Develop and test strategies to generate quantitative alpha
  • Conduct portfolio performance attribution and risk analytics
  • Analyse market neutral, long-short and enhanced index portfolios
  • Develop new risk measurement metrics and create simulation models
  • Conducting stress testing, scenario analysis and calculating value at risk
  • Conduct counter-party risk assessment for the prime brokerage
  • Conduct risk remediation to validate model consistency
  • Create and manage synthetic benchmarks
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