A large investment bank had hundreds of separate derivatives pricing models spread around the world.

The models were inaccurate, uncompetitive and a compliance nightmare. They also provided big problems with pricing consistently to customers and often deals were either lost by a large margin or the deal was accepted by the client, but ended up in a loss for the bank because of errors in the pricing models.

Project

Define a standardised web-based pricing platform to build, upgrade and release new and upgraded models to users globally. The aim was to provide rigorous release management and global distribution for the release and use of each pricing model. It would also allow permissioned clients to use selected pricing models as a marketing approach.

Result

The project was successfully implementee and compliance costs reduced by 90%. Pricing models were able to be re-used by quants and clients globally. There was a renewed interest in providing new structured products by sales teams and this resulted in  an increase of 40% in structured product sales turnover.