Quantitative Services

Amba Research’s Quantitative Services team provides support to over two dozen capital market institutions, including several multinational bulge bracket investment banks. The team has accumulated an inventory of technical skills concentrated in three core areas: mathematical modeling, statistical analysis, and programming.

Technical expertise in these areas is benchmarked to proficiency in stochastic calculus/continuous time finance, SPlus/R statistical packages, and C++ programming, respectively. These technical tools are mixed and matched for projects across asset classes and of varying degrees of complexity. Members of the Quants team are based in our offices in Bangalore, Colombo, and San José.

An outsourcing relationship requires a considerable investment of time upfront, and we leverage the firm’s unique financial markets domain expertise to minimize this. We strongly believe that hands-on experience (as opposed to textbook knowledge) is a vital prerequisite for cost- and time-effective outsourcing. Amba Research has more senior managers with relevant capital markets expertise than any of its competitors.

Further, in order to scale any engagement of reasonable complexity, it is essential that the offshore vendor is able to provide ongoing, in-house training in relevant areas in order to grow its own talent without placing an ongoing training burden on client staff. Our experienced training team conducts classroom-based induction training, on-the-desk supplemental training, guided reading assignments, communication/database workshops, and continuing education programs in Quants.

Each Quants analyst, on entry, undergoes an assignment-based, seven-week induction program and, subsequently, works on client projects under the guidance of seniors who have gained several years of market experience in empirical finance from global securities firms.

Amba Research’s Quantitative Services team offers strategic research services in six areas:

• Credit and rates research (jointly with the Credit Research team)

Backtesting and developing structured rates products

Estimating default loss probabilities using information across asset classes

Modeling and testing prepayment risk, duration, convexity

Structured credit database maintenance, monitoring, and modeling work

Creating default and transition matrix, adjusting for inordinality, credit portfolio risk measurement

Developing, backtesting, managing customized indices

• Derivatives research

Structuring swaps, options, and futures

Vol modeling and forecasting

Monte Carlo simulations and modeling distributions and cupolas

Structured credit database maintenance, monitoring, and modeling work

Developing, backtesting, managing customized indices

• Quantitative equity research

Factor selection and backtesting

Multi-factor modeling and analysis of factor weightings

Development of equity, option, and index investment and hedging strategies

Portfolio simulations and performance measurement

Data validation and aggregation

Building of stock screens and quantitative reporting

Developing, backtesting, managing customized indices

• Macroeconomic research

Sourcing and management of economic databases

Economic commentary on economic indicator releases, economic outlook, and forecasts

Empirical research on interest rates, exchange rates, and other economic variables across time/geographies

• Risk management

Evaluation and customization of off-the-shelf risk management packages

Measurement and management of market risk, including non-linear VaR and EVT

Measurement and management of credit risk (offered jointly with the Credit Research team)

Stress testing, scenario analysis of client-specified extreme events

Programming, database automation, risk report generation support

• Technology solutions

Systems integration, application development support across a variety of platforms

Migration of models to more robust platforms

De-bugging, testing new applications with extensive documentation of work

Database design, integration, classification, manipulation, and management