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March 2011 |
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Quantumwave selects Zeliade products and services
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February 2011 |
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Frédéric Patras, Head of Quants at Zeliade, has a new book on Credit Risk with Tom Bielecki and Damiano Brigo:
"Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity"
Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
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November 2010 |
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"PHD defense of Stefano De Marco, Zeliade Systems and
University of Paris-Est Marne-la-Vallée"
Stefano De Marco, Zeliade
Systems and University of Paris-Est Marne-la-Vallée, defends
his PHD thesis "cum laude", "On Probability Distributions of
Diffusions and Financial Models with non-globally smooth
coefficients" at the prestigious Scuola Normale Superiore di
Pisa. Besides his PHD advisors, Prof. V.Bally and M.Pratelli,
the jury was composed by E.Gobet (Ecole Polytechnique), Prof.
G.Letta and S.Marmi from the Scuola Normale Superiore, and
C.Martini (Zeliade Systems).
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October 2010 |
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"PHD defense of Antoine Jacquier, Zeliade Systems and Imperial College London"
Antoine Jacquier, Zeliade Systems and Imperial College London, successfully defends his PHD thesis at
Imperial, "Implied volatility asymptotics under affine
stochastic volatility models". The PhD supervisor was Dr A.
Mijatovic (University of Warwick), and the members of the jury were Professor Mark H.A. Davis (Imperial College London)
Professor Huyên Pham (Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Paris 7 and Institut Universitaire
de France).
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October 2010 |
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Zeliade on the challenges of independent valuation for the
buy-side.
Zeliade challenges the
process of independent valuation at a roundtable organized by
the Club Finance Innovation with Derivexperts, the Euclide
project, Lexifi and Pricing Partners: “Independent valuations
for the buy-side: expectations, challenges and solutions”.
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September 2010 |
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The 3rd Euclide/Parisian Model Validation Seminar.
Jeroen Kerkhof (VAR
Strategies BVBA) talks about the multi-curve conundrum and how
to move from the traditional bootstrap/interpolation framework
to the global multi-curve world in the post-2008 fixed income
universe. Following insights from Credit modeling a consistent
approach is feasible even if there are still workflow and
numerical issues.
Practitioners even start to quote swaptions in the forward
numeraire since there is no agreement on the adequate discount
factor. Some new market practice is coming up, yet no global
consensus has been reached so far.
Pascal Gibart (CA-CIB) displays implementation of model risk
measures following Patrick Henaff recent preprint.
The algorithm is easy to implement and yields robust and
meaningful figures - various FX exotic were 'model risk
assessed' with the mainstream FX local/stoch vol model as
reference. Unlike VaR and other market risk measures, the
model risk cannot be diversified, and some care is to be taken
in the interpretation of the Basel II July 2009
recommendation.
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May 2010 |
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Parisian Model Validation seminar : second edition
With its second edition on
May 27th, the Parisian Model Validation seminar has proved
itself as one of the central rendez-vous for Model Validation.
The premises of the Institut Louis Bachelier, an association
supporting the research in the field of finance set in the old
financial quarter in Paris, welcomed two exceptional speakers
and more than 40 participants, in large part practitioners
from model validation teams of french banks and from
consulting companies and a number of researchers from the
major parisians academic institutions.
The first speaker, Marco Avellaneda from New York University,
presented some recent advances in the field of risk management
for central counterparties. The talk gave a detailed overview
of the regulatory aspects and fund requirements for CCP
clearing houses and proposed an innovative mathematical
framework for stress-testing the margins and fund
contributions based on a combination of extreme value theory
to model market risks and random matrices to model the
clearing member's portfolios.
The talk of the second speaker, Etienne Koehler from the
counterparty risk team at Barclays Capital, provided some
complementary insights on model risk. After reviewing the
classical approach to pricing and hedging based on replicating
portfolios, the speaker addressed the importance of having at
hand alternative methodologies funded on back-testing in order
to enhance the pricing, in particular in crisis and
post-crisis scenarios. The presentation of two case studies of
hedging of a vanilla and of a complex IR/FX hybrid allowed to
highlight the need for introducing new factors in the pricing
procedure, in particular in volatile or crisis phases of the
market, and how to model them.
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March 2010 |
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Parisian Model Validation seminar : 1st edition
The 1st Parisian Model
Validation seminar was a complete success with more than 45
participants, mostly practitioners, and 2 outstanding
speakers:
The first speaker, Rama Cont, from CNRS and Paris 6
University, presented cutting-edge methods to compute
pertaining model risk measures for portfolio of derivatives,
with applications to the pricing of barrier options and index
equity options.
Alberto Elices, from the model validation team at Santander,
presented a very deep survey of best practices for Model
Validation, and also discussed how the crisis re-shaped and
re-sizes the activity of Risk and Model Validation teams. He
also presented a comparison of a Heston-based and of a
Vanna-Volga pricing and hedging strategy with full simulations
of the calibration, pricing and hedging process on the FX
market.
The cocktail/networking time was very cosy with vivid
discussions between professionals of french and european 1st
tier banks, of banking institutions, consultants and
technology providers.
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February 2010 |
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Louis Dreyfus Investment
Group selects the Zeliade Quant Framework 1.3.
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February 2010 |
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Claude Martini, founder
and CEO of Zeliade, is invited by the Tor Vergata University
in Roma to give 2 talks on the recent advances in stochastic
volatility and implied volatility models, to which Antoine
Jacquier (Imperial College and Zeliade) and Stefano De Marco
(Univeristy of Marne-la-Vallée, Univeristy of Pisa and
Zeliade) contribute.
The first talk, "HESTON 2010", loosely follows the
corresponding Zeliade White Paper: The Heston model (1993) has
emerged as the reference model among stochastic volatility
models. Despite being almost 20 years old, is has still very
recently been the topic of a blooming of deep studies, either
on theoretical properties of the model (especially the shape
of the volatility smile), or on numerical issues related to
the computation of option prices, and also on calibration. In
this talk we will present a summary of the recent theoretical
advances made by Andersen and Piterbarg, Jacquier and Forde,
Jacquier and Mijatovic, Tehranchi, and others. We will also
spot some theoretical open questions of practical importance.
The second talk, "KUDOS TO GATHERAL SVI MODEL", is about very
recent results on the relation between Heston and SVI, and on
the practical calibration of the SVI model: Jim Gatheral
(Merrill) has proposed in 2004 an explicit "model" for the
volatility smile, the "Stochastic Volatility Inspired" model.
Despite its parsimony, the fit of the SVI model to market data
is amazing. We will present 2 joint works with S.De Marco
(Pisa/Marne La Vallee and Zeliade) on the calibration of the
SVI model, and a recent work of Jacquier (Imperial and
Zeliade) and Gatheral which shows that the long-term Heston
volatility smile is exactly given by the SVI formula,
illuminating the original inspiration of Gatheral and making
of SVI the reference implied volatilty model.
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February 2010 |
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The Louis Bachelier
Institute, La Banque postale, the Telecom Institute and
Zeliade launch the Parisian Model Validation seminar.
The seminar, to be held quarterly, will contribute to set up a
community of practitioners, technology providers, consultants,
academics, on the very rich and urgent topics of model risk
and model validation.
Each session will involve a theoretic talk, a practitioner
talk and a cocktail/networking time.
The seminar will be held in the beautiful premises of the Sup
Telecom french school in Paris.
For information and registration purposes: Contact us.
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January 2010 |
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Zeliade has a new White
Paper on Model Validation : "Model Validation: theory,
practice and perspectives" , co-authored with Patrick
Henaff, who leads the Euclide project at Telecom Bretagne and
former Head of Quant Commos at Merrill.
In July of 2009, the Basel Committee on Banking Supervision
issued a directive requiring that financial institutions
quantify model risk. The Committee further stated that two
types of risks should be taken into account: ``The model risk
associated with using a possibly incorrect valuation, and the
risk associated with using unobservable calibration
parameters''.
The resulting adjustments must impact Tier I regulatory
capital, and the directive must be implemented by the end of
2010. On the surface, this seems to be a simple adjustment to
the market risk framework, adding model risk to other sources
of risk that have already been identified within Basel II. In
fact, quantifying model risk is much more complex because the
source of risk (using an inadequate model) is much harder to
characterize. Twelve months away from the deadline, there is
no consensus on this topic. There is fortunately a growing
body of literature, both from the academia and the industry,
and the purpose of this paper is to summarize the development
of the notion of ``model risk'' and present the current state
of the art, before outlining open issues that must be resolved
in order to define a consistent framework for measuring model
risk.
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September 2009
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Zeliade sponsors the "Recent Advancements in the
Theory and Practice of Credit Derivatives" conference
September 28-30 2009, Nice, France
The recent decade witnessed a rapid development of more and
more advanced quantitative methodologies for modeling,
valuation and risk management of credit derivatives. The size
and complexity of the credit markets in general, and credit
derivatives markets in particular undoubtedly posed a
challenge for quantitative modelers and for market
practitioners.
The recent turmoil in the credit markets can be attributed to
many factors, but one of the factors is probably the fact that
in many respects the challenge has not been fully, and,
sometimes, properly addressed.
New solutions, both in terms of models and softwares are
therefore needed. Zeliade's products such as ZQF, a flexible
tool for pricing and risk management allowing the
implementation of new products and proprietary algorithms,
contribute to this renewal of financial solutions.
The conference, that addresses pending issues in the modelling
of credit derivatives, gathers the very best worlwide experts
of Credit risk, stemming altogether from the academic world
and prestigious practitioner teams.
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July 2009 |
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The Zeliade Quant Team
reports on recent advances in the Heston model of stochastic
volatility: Heston 2009
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May 2009 |
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The Zeliade Quant Team
reports on its research on the mechanisms underlying the
subprime crisis.
The report highlightens the importance of high correlation
regimes and systemic risks and contagion, in the context of
the liquid index tranches but also for European Prime RMBS and
SME securitizations. The results in the report have been
presented at the 2008 International Financial Research Forum,
Paris, March 27-28.
CDOs: How far should we depart from Gaussian
copulas?
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November 2008 |
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Zeliade presents at PRIT’08,
the major Ile-de-France innovation 2008 event.
Claude Martini presented the CRIS
platform within the slot "Pricing and Risk tools" of the Pôle
de compétitivité "Finance Innovation".
Zeliade is also selected by Microsoft IDEES, to be part of the
Microsoft booth, with a demo of its flagship product: Zeliade
Quant Framework.
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March 2008 |
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Zeliade implements the
Credit library at BlueCrest Capital Management LP
Zeliade announced today
that it implemented a state-of-the-art multi-name credit
library providing pricing and risk analysis for multi-name
Credit portfolios at BlueCrest Capital Management LP, a
leading European hedge fund manager with approximately $14.5 B
under management.
"Our business has very
high standards, and we expected the same from Zeliade Systems.
We foremost appreciated their result driven approach. They
could only do so by assembling a small, but most importantly
flexible team that combined IT, numerical and financial
skills. Zeliade worked efficiently with our top Quants and
proved very reactive and flexible in our demands. As a result,
they were able to deliver a customized library with
performances that exceeded other packages", says Farid
Amellal, Co-Head of the Multi Strategy Credit Strategy, from
BlueCrest Capital Management LP.
"BlueCrest Capital
Management LP is a typical case where Zeliade comes in during
the set-up phase of a high-profile Investment Fund. We were
pleased to collaborate with BlueCrest from the outset. Our
team and BlueCrest's collaboration was very efficient and
complementary, allowing both teams to complete this ambitious
project in record time", says Claude Martini, Zeliade Systems
CEO.
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March 2008 |
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CRIS consortium funding
approved
CRIS consortium has been selected for funding by government
agencies.
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December 2007 |
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Risk Magazine lists
Zeliade Systems in its annual software survey
The survey details the latest developments in technology for
derivatives pricing, trading and risk management.
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November 2007 |
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The "Pôle de
compétitivité" "Finance Innovation" approves CRIS.
CRIS is a platform for independent valuation and risk
management of credit derivatives.
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April 2007 |
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Zeliade announces a
partnership with CMA
CMA (www.cmavision.com) is a credit information specialist.
CMA provides credit market pricing data and intra-day services
which increase productivity, efficiency and speed of
transactions.
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January 2007 |
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Zeliade has been selected
by Microsoft France to be part of IDEES
Zeliade has been selected among 300 ISVs by Microsoft France,
to be part of IDEES, an initiative to support high potential
French ISVs, that grants Zeliade technological, marketing and
sales support, in France and abroad.
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December 2006
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Risk Magazine lists
Zeliade Systems in its annual software survey that details the
latest developments in technology for derivatives pricing,
trading and risk management.
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December 2006 |
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Zeliade Systems and
Markit have entered into a strategic partnership
This partnership allows Zeliade Systems to integrate
Markit’s CDS data with their flagship product Zeliade Credit
Analytics. Markit CDS data is available in Zeliade Systems’
products through a dedicated Market data management module
that enables, with a single click, selective data extractions
from external data providers, in particular from Markit.
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May 2006 |
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Ixis-AM, a major Asset
Manager, chooses Zeliade Systems as a supplier of tools and
services
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May 2006 |
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Aleva, a leading Pension
Fund Advisor, chooses Zeliade Systems as a supplier of a risk
assessment tool
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April 2006 |
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The
Stochastic Processes and their Applications journal publishes
an article by F. Patras from Zeliade Systems
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February 2006 |
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Natexis Banque Populaires,
a major French Bank, chooses Zeliade Systems as a supplier of
tools and services
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November 2005
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Zeliade Systems releases 2 white papers on CDO pricing
algorithms and calibration:
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October 2005 |
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JPLC, a credit derivatives consulting boutique, and Zeliade
Systems are announcing a partnership
The partnership was set up to develop synergies around
business development, know how and tools. JPLC was founded by
Jean-Pierre Lardy, former credit derivatives and credit
portfolio Managing Director for JP Morgan, who brings in
extensive market experience
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June 2005 |
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Nexgen Financial
Solutions, a large asset manager, chooses Zeliade Systems as a
supplier of tools and services
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June 2005 |
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Zeliade Systems sponsors
the 2-day conference on "Capital Structure Arbitrage". F.
Patras was a keynote speaker for Zeliade discussing
"Correlation Issues in Structural Models: the example of
default swaps on two credit instruments"
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February 2005
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Zeliade Systems signs a sponsoring contract with the
Department of Finance of Evry University
The contract supports research targeted on credit derivatives
as well as a conference on capital structure arbitrage
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November 2004 |
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Riskedge
and Zeliade Systems are setting up a broad partnership
The partnership is aimed at developing synergies around tools
and business opportunities in risk management focusing on
corporates. Founded by Capital Markets experienced
professionals Eric BOULOT and Jean-Nicolas HUTIN, Riskedge is
a consultancy advising large and medium-sized companies on how
to best manage their financial risks.
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September 2004 |
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Dexia, a major European
Bank, chooses Zeliade Systems as a supplier of tools and
services
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