Modelling

Market risk

When asked “What will financial markets do?”, Warren Buffet famously said: “Financial markets will fluctuate.”

Probability & Partners provide solutions to problems where market risk plays an important role.

Services and vision

We build and validate market risk models.
We believe in cross-fertilization between model building and model validation.
We have expertise in all major asset classes: Equity, Commodity, Interest Rates and FX.
We assess models’ compliance with regulatory requirements.

Examples of expertise

Derivaties pricing.
Initial margin modelling for CCPs and clearing members.
Asset and Liability Management (ALM).
Interest rate and inflation risk.
Energy markets and derivatives.
XVA modelling (CVA, DVA, MVA).

Quantitative Investment Strategies

Mark Twain said: “Plan for the future because that’s where you are going to spend the rest of your life”.

At Probability, we advise you on cutting egde but also on straightforward investment strategies.

Our focus is on

ESG (environmental, social, governance) investing. Our ESG related research includes:
News and social media sentiment analysis for investment and trading. Research includes:
- Adding sentiment to multifactor equity strategies
Simple, easy-to-understand asset allocation and stock selection.

Our unique perspective

Objective and data-driven approach to investment decisions.
Excellent academic expertise and track record in sentiment analysis for finance.
Deep understanding of investment opinions and the needs of our clients.

Data analytics and machine learning

Another famous quote we work by is: “The goal is to turn data into information, and information into insight”, as said by Carly Fiorina.

Our vision on data analytics at Probability & Partners is summarized in that famous quote by Carly Fiorina, former CEO of Hewlett-Packard. We help our clients to uncover the potential that lies in data. Our goal is to utilize the data to find empirically sound answers.

Services and vision

Solid experience in advanced statistics.
Modern data analysis and machine learning expertise.
Simple and transparent solutions, where possible.
Complex solutions, where needed.

For each project, we provide a full data solution including

Data cleaning and pre-processing.
Data analysis, model building and estimation.
Communication and visualization of the results.
Integration into the client’s existing infrastructure.

Our areas of expertise include

Statistical analysis of complex and large datasets.
Machine learning methods for finance and other applications.
Data mining and big data analytics.

Our implementation expertise encompasses R, Python and Matlab, as well as most statistical and ML packages.

Insights

Variational AutoEncoders with Student-t distribution for large porfolios and IV curves

November 14, 2022

Variational AutoEncoders with Student-t distribution for large portfolios and IV curves

The aim of this paper is to extend Variational AutoEncoders (VAE) to allow for heavy tailed distribution of the latent space and apply them to the problem of market risk of large portfolios.

October 10, 2022