Prism Valuation

Markit acquires Prism Valuation

This is an exciting opportunity for Prism as it opens new areas to expand and improve our valuation and analytics service for complex derivatives and structured notes.

Keldon Drudge, founder and CEO of Prism Valuation, said: “Markit’s scale and global reach will allow us to better support our customers and will also accelerate innovation and further development of our platform. Our shared focus on providing independent, high quality valuations will help firms comply with evolving regulatory requirements and satisfy investors’ risk management demands.”

http://www.businesswire.com/news/home/20160620005706/en/Markit-Acquire-Prism-Valuation

Prism will be discussing the Evolution of theIPV desk at SCI's Pricing & Risk Seminar Oct 7, New York , http://www.structuredcreditinvestor.com/newyork2015/

SCI's 8th ANNUAL PRICING, TRADING & RISK SEMINAR, New York 07 October 2015 SCI

Job Posting:
We are looking for a quant based in Toronto, ideally with at least 2 years prior experience who is interested in a high-impact, fast-paced role in our analytics group. This group is the internal owner of all financial methodology, and as such the candidate must either possess or demonstrate the ability to develop well-rounded quantitative finance acumen. Assets include:
- Advanced degree in finance or other quantitative field
- 2-5 years prior work experience in derivatives valuations, trading, reporting, risk management, or related field
- Familiarity with Excel and/or VBA
- Familiarity with at least one object oriented programming language (preferably C++ or C #)

Prism Valuation crew at the recent Buy Side Valuations conference in London

New white paper – Negative Interest Rates and Derivatives Valuations
"There are several places in derivatives processing, trade entry and valuation where negative rates have the potential to cause serious difficulties. In addition, many standard pricing models simply do not allow the possibility of negative rates and must be modified or replaced in this environment."
For the full paper please send a request to [email protected]

P&L Amortisation:
We have updated our white paper 'On Structured Note Valuations' to include a section on 'P&L Amortisation' and its relation to fair value of OTC derivatives pricing. For the full paper please send a request to [email protected]

Swiss Financial Market Supervisory Authority (FINMA) Swiss Solvency Testing (SST)
Prism Valuation is now offering analysis of assets under SST scenarios. The SST scenario analysis is a key input in determining economic capital of Swiss life insurers. The SST scenario set consists of 82 independent market risk factors and cross scenarios of the factors totaling in excess of 4,000 risk scenarios. The range of market factors consists of up and down shocks to interest rates, FX rates, credit spreads, equity spots and equity volatility. For more information on this or other bespoke stress analysis contact [email protected].

Equity Volatility Surface Partnership

ICAP Information Services launches ICAP Equity Derivatives premium pricing service London, New York, 18 November 2014 – ICAP Information Services (IIS), the information division of ICAP, announces today that it has launched ICAP Equity Derivatives, an end-of-day, premium data product.

New white paper – CSA Implied Discounting of OTC Derivatives
"The implication is that the choice of base currency dictated by the CSA is important. To put it bluntly, even vanilla derivatives are complex in the post-crisis world."
For the full paper please send a request to [email protected]

Some European banks are not too keen on disclosure of structured product valuation required under Mifid II:
http://www.risk.net/structured-products/news/2361403/deutsche-bank-and-others-face-off-with-esma-over-mifid-ii

Deutsche Bank and others face off with Esma over Mifid II Deutsche Bank, Societe Generale and UBS object to revealing profit margins on structured products as part of a push to expand disclosure

New white paper - On Structured Note Valuations.
"Typically price challenges arise in two ways: When instruments exhibit large day over day changes in valuation, or when valuations differ from some alternate valuation by an amount which exceeds some threshold."
For the full paper please send a request to [email protected]

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