Financial Pricing Engineering

The economic crisis of recent years and the resulting financial crisis have dictated a shift in financial engineering paradigms, which in turn has generated a strong push towards the development of innovative methodologies in the field of financial pricing engineering. 

On the one hand, we have seen a clear reduction in the range of structured products available on the market; on the other, financial institutions and supervisory authorities have increasingly focused on the credit / counterparty risk components that affect the assessment of the fair value of financial instruments.

Prometeia’s specialist skills and consolidated experience in the field of risk management and financial consulting are the critical success factors in meeting the management needs of banks and institutional investors, as well as the legal requirements deriving from recent provisions on the calculation of the fair value of financial instruments.

Today Prometeia's financial libraries are proprietary applications that cover almost all the pricing models considered to be best market practice. Our quantitative methodologies are certainly state of the art and use distributed and concurrent calculation tools as well as advanced calculation algorithms. Simulations regarding the main risk factors are increasingly being used also in the internal top-down capital adequacy evaluation (ICAAP / SREP) and stress-testing processes, enabling the projection of net profit and risk capital in a multi-year framework.