Comparative Study of Quantifi’s two Proprietary MVA methodologies vs. Alternatives e.g. SIMM/AAD based MVA and/or full VaR within Monte-Carlo

Location: Sydney, NSW

Duration: 5 months

Proposed start date: December or January

Keywords: Quantitative Finance, C/C++ programming;  Excel, Counterparty Credit Risk Models

Please note: Due to funding requirements, students must have Australian Citizenship or Permanent Residency to apply. Any applicants not meeting this requirement will be ineligible for this project.

Project Background

Since the publication of the new BCSBS-IOSCO guidance on mandatory margining for non-cleared OTC derivatives, there has been a growing interest in the industry for the development of models that can be used to forecast future Initial Margin requirements. The funding cost of future Initial Margin requirements is beginning to figure into profitability analysis in the form of so called Margin Value Adjustment (MVA). However no consensus has formed within the industry as to the best way to model Initial Margin. This study will provide a survey of alternative models and compare their accuracy and performance.

We are seeking a post grad intern with expertise in quantitative finance and strong software development skills to assist in implementation and evaluation of the models in the proposed study.

Research to be Conducted

Review and understand Quantifi’s 2 proprietary MVA methodologies. Produce sample results for a representative set of trades using Quantifi software. Validate results in comparison to model specifications.

Research alternative methodologies and propose 1 or 2 alternative models that can be implemented within an achievable time frame in some combination of excel worksheets and code. Implement proposed models and produce sample results for a representative set of trades. Validate results in comparison to model specifications.

Skills Required

We are looking for a PhD student with the following skills:

ESSENTIAL

  • Quantitative Finance
  • C/C++ programming

DESIRABLE

  • Excel
  • Counterparty Credit Risk Models

Expected Outcomes

Produce sample results contributing to the production of a whitepaper surveying alternative MVA models and comparing results. The proposed research will assist Quantifi in validation of their proprietary models and in increasing their credibility in relation to alternative models that are more computionally expensive.

Additional Details

The intern will receive $3,000 per month of the internship, usually in the form of stipend payments.

It is expected that the intern will primarily undertake this research project during regular business hours, spending at least 80% of their time on-site with the industry partner.  The intern will be expected to maintain contact with their academic mentor throughout the internship either through face-to-face or phone meetings as appropriate.

The intern and their academic mentor will have the opportunity to negotiate the project’s scope, milestones and timeline during the project planning stage.

Applications Close

 12 December 2018

Reference

INT – 0560