Objective

To provide ongoing, comprehensive Quant and Trading support to the client, including intraday pricing support, initial valuation reviews for new trades, and valuation resolution for flow and exotic desks.

CRISIL's Solution

• CRISIL GR&A provides "first line of support" for the Front Office and all quant model users of the equities desk. The CRISIL team consists of eight members working in three time zones – the UK, Poland and India
  
• The CRISIL coverage model extends intraday pricing request support and provides quick initial valuation reviews for new trades
  
• Products covered by the team include all Vanilla and Exotic Derivative Trades across six desks and 40 books
  
• Geographies: EMEA, US, APAC
  
• Teams closely involved: FO, Quant, Product Control, MO, Risk Management, IT, Structuring and Change Management
  
• The CRISIL team carries out additional tasks, including:
  
  • Explains FO and other users' valuation differences between various risk systems and quant pricing tools
    
  • Tests new models introduced by the quant team globally, explains valuation differences and coordinates release
    
  • Creates PDFs and presentation material for the Sales and Structuring team using Automation tools
    

Client Impact

• Support response time reduced from one hour to 15 minutes
  
• Mix of onshore/offshore extends support coverage. Approximately 50% increase in offshore team's coverage (released 40 models in one year, covering 2,000 exotic positions)
  
• Trade migration time-scale reduced to three days from five days
  
• Geographical coverage advantage provides effective and on-time resolution of support issues
  
• Quant team in any location is able to release models with quick turnarounds and minimum overheads
  

Questions

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