Issue The client operated its business in two different time zones and experienced difficulty integrating the data to maintain the accuracy of the daily P&L, value at risk (VaR), and invoicing reports. In attempting to standardize the trading position, the client entered the transactions as one time zone. This created a problem when the trades […]
Issue A client’s Risk and Trading groups were in disagreement about the valuation of certain option instruments. Proper valuation was needed for mark-to-market disclosure. Our objective was to determine the source of the discrepancy and gain agreement between Risk and Trading. Solution Our consultant combined his knowledge of the mathematical models supporting option valuation and […]
