Independent valuation services for complex OTC derivatives & structured products

Solutions

Independent valuation services for complex OTC derivatives & structured products

Your challenges

Regulatory pressure continues to grow for all market participants, with a clear focus on fair valuation of assets with more transparency and disclosure requirements.

Given the loss of confidence resulting from the last financial crisis, investors are seeking more and more transparency from their financial intermediaries, including with regard to the valuation of their assets (transparency on valuation models and input parameters as well as on fees and incurred costs).

Valuation standards and methods are becoming more and more complex following new rules imposed to the derivatives industry (e.g. focus on collateral management, OIS discounting, credit/debit/funding/liquidity value adjustments, ...).

Understanding of these valuation methods is essential to ensure interaction with counterparties.

This valuation monitoring task is a costly process as it requires among others to maintain a highly-skilled team, to subscribe to several financial information providers and to set-up appropriate systems.

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Our solutions

  • We accompany you in your regulatory obligations by providing independent fair valuation of your OTC financial derivatives instruments and structured products portfolios
  • We provide you high-quality valuation services in close collaboration with market experts, in order to deliver not only a price, but also a highly reliable and transparent price
  • We define with you the valuation frequency that best suits your business and regulatory obligations
  • We put at your disposal our in-house valuation library and ensure full transparency on considered valuation models, hypothesis and market data
  • We help you interpreting and analysing valuation results in order to interact confidently with your counterparties and client
  • We provide you a range of capital markets trainings covering both governance and financial quantitative aspects in order to help you building the knowledge required by the different regulations
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Contacts

Xavier Zaegel, FRM

Xavier Zaegel, FRM

Partner | Capital Markets/Financial Risk Leader

Xavier is a partner within the advisory and consulting department and is the head of the Capital Markets practice in Luxembourg. As a market and credit risk specialist, he has been leading various ass... More