Treasury Consulting > Evaluating trading risk

Client: European Securities House

Evaluating Trading Risks

The traders were dealing in structured notes, these contained options. The options exposed the firm to certain risks. The in-house risk management system did not accurately identify and value the risks.

This assignment involved building a "toolkit" in Excel. This allowed the traders and risk managers to properly evaluate the risks contained in the notes. The software was implemented by the firm and this included a workshop to explain the risks (Greeks) associated with these instruments.

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