What we offer
Matching adjustment optimisation
Our MA optimisation is a portfolio solution for annuities. The features of the tool include:
Determining optimal asset allocation that maximises the MA for a given set of constraints including the PRA tests.
Optimising capital position by determining hypothecation under stress. A run time of few seconds enables them to run thousands of scenarios.
Automating management actions, such as, trading-in and trading-out assets subject to a set of rules to restore compliance with the MA requirements under stress.
ALM and hedging constraints, such as matching key rate durations, can also be considered.
Portfolio construction
We help firms optimise their investment portfolios, with an objective to maximise returns or control a risk measure, subject to a range of constraints, including minimum and maximum investable amounts, number of trades and diversification.
Structuring of illiquid assets
We provide solutions for optimal structuring of tranches of illiquid assets, such as equity release, using mathematical methods.