Valuation and Portfolio Modeling

Our team comprises debt, derivatives and treasury accounting experts utilising sophisticated models and platforms in order to model and value client portfolios of financial assets and liabilities as well as providing comprehensive analysis. Our systems and expertise provides us with the ability to deal with a wide range of asset classes and types, such as complex inflation linked liabilities, exotic option products and commodity linked transactions among others.

We undertake a thorough review of transaction documentation and have an established double validation trade booking process that ensures a high degree of accuracy during the portfolio on-boarding process. The next step in our methodology is to build each transaction, both loans and standalone or embedded hedging positions with the flexibility of calculating individual cash flows, as well as running scenario analysis. Finally, we select appropriate market data from our providers and build data curves in line with our valuation methodologies and latest market practices. In the event of illiquid positions for which market data may not be available, our team is able perform a pricing discovery process and clearly document the underlying assumptions in order to meet audit and other reporting requirements.

Our approach is to provide a clearly documented report, as well as access to the calculation and treasury platform where required. The report includes portfolio fair values, adjusted values, embedded option valuations, scenario analysis, accounting entries, financial disclosures among other information and can be shared with senior management, auditors and other stakeholders. Our involvement continues with the provision of support in any follow up discussions and explanation of the more detailed inputs and outputs of our analyses. Clients also have the option of accessing this information through our technology platform.

Service Contacts

Jason Murphy

Jason Murphy

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George Karalis

George Karalis

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