Hipes Research also provides consulting to the financial services industry.
Financial model specification, implementation, and validation
- Hedge fund liquidity model
- Multi-factor model for real rates and inflation
- Basket credit protection model
- Capital structure model (Merton) for high-yield debt
- Municipal bond arbitrage
- Convertible bond arbitrage
Data scrubbing and analysis
- Principal component analysis of rates and volatility
- Multi-regime analysis of rates
- Estimation of inflation beta
Analysis of decision support models
- Back-testing of signals from term-structure models
- P/L attribution platform for multi-currency CB arbitrage
Portfolio construction (position level and multi-strategy)
- Optimization for best roll-down and carry in fixed-income
- Mean-variance optimization of hedge fund strategies
Research / risk management
- Risk management process for a multi-strategy hedge fund
- Integrated risk management platform for a fixed-income desk
Calibration of parametric models
- Multi-factor model for nominal rates and volatility
In addition, we offer client project support in the following areas:
Third-party analytic library due diligence, integration, and validation
Documentation, analysis, and modification of client legacy programs
Porting of client programs to advanced architecture computers