Development of quantitative models to aid decision making

The financial engineers use ideas taken from scientific financial literature or from their own research. They build models for the different asset classes and set them against real data and the expertise of the fund managers.

The three fundamentals of portfolio building

1. Identify the sources of added value used by the fund managers, measure them and budget for the associated risks.
2. Optimise the building of a portfolio or a strategy of allocation, according to objectives relating to yields, constraints, integration of multiple parameters and within that, a given risk budget.
3. Develop criteria for evaluation of performances.

Derivatives expertise

Dissected, audited, evaluated, accepted or rejected; all complex derivatives are put under the microscope by the financial engineering team. The team is also the nerve centre for any scenarios that use structuring.

An innovative dual structure

Two complementary teams are designed to effectively support the management teams: One workforce focuses on cross-asset projects (derivatives, allocation of assets), another is deployed in close proximity to the Equity, Fixed Income and Multimanagement teams.