RISK MANAGEMENT AND FINANCIAL MODELING

Risk cannot be avoided. It must be managed.

The business landscape of a corporation, including the financial services offered by Financial Institutions is always in a state of change. JRO Derivatives provides an integrated risk management in credit and market risk, as well as provides consulting with hedging commodity futures, hedging financial and monetary futures, spreading, hedging with futures options and financial modeling solution.


JRO Derivatives cover the major areas about Risk Management (credit & market risk) and Financial Modeling, including:

  • Monte Carlo simulations, scenario analysis, including probability distributions such as binomial, hypergeometric, normal, lognormal, uniform, exponential and VaR (parametric VaR and non-parametric VaR), Synthetic strategies, volatility strategies, the Greeks and sensitivities, GARCH historical volatility.
  • Risk Management Trading, backtesting.
  • Short-term Interest Rate Swaps, Generic Interest Rate Swaps, Cross-currency Swaps, pricing and valuation of non-generic Swaps.
  • Estimating default risk, credit exposure, expected and worst exposure.
  • Expected and unexpected credit loss, pricing credit risk, portfolio credit risk models.
  • Computing VaR, backtesting VaR models, portfolio VaR.
  • Forecasting risks and correlations, stress testing, VaR in investment management.
  • Financial forecasting, analysis and modeling.

JRO Derivatives provides a step-by-step through the entire process of developing short and long-term financial forecasting, analysis and modelling. JRO Derivatives covers financial model in the area of Oil & Gas; Bank & FIG, Financial Statement modeling using sensitivity analysis, and Monte Carlo simulation; and Restructuring modeling.

We offer consulting including: forward contracts, futures contracts, options contracts, options on futures, and swap contracts. JRO derivatives helps for financial institution, enterprises, financial advisory firms, tied agents of investment firms, and investment firms through derivative instruments to hedge preexisting risk exposure.

JRO Derivatives provides two models related to credit risk:

  • Default risk or default probability combined with the loss given default.
  • Market risk, which drives the market value of the obligation, also known as credit exposure.