Quantitative Finance

CEG's Quantitative Finance professionals employ complex financial engineering, modelling techniques, valuation skills and market acumen in order to address and solve their client problems across the globe. CEG uses and applies sophisticated mathematical techniques such as analytical, numerical analysis and simulation in order to support clients. Our skilled professionals have many years of experience that include research, valuation, trading and risk management in complex and illiquid securities, ranging from plain vanilla to complex derivatives.

In our role as advisors, CEG professionals provide independent valuations of complex financial and energy products for dispute and litigation support as well as in support of other complex decisions. In any context, the Quantitative Finance team has the capability and expertise to cover the following asset classes:

  • Alternative Investments – Private Equity, Hedge Funds, Infrastructure, and Fund of Funds
  • Equities
  • Energy & Commodities
  • Credit & Fixed Income
  • Foreign Exchange
  • Interest rates

Disputes

CEG continues to provide independent and robust analysis to support its expert testimony in national courts or international arbitration tribunals. Our primary focus has been to provide such services in the financial services and energy sectors, where clients face various issues of a very complex nature. CEG’s quantitative finance professionals not only assist such clients and their attorneys but also regulators and competitive authorities when conducting investigations, such as ones into rogue trading or market manipulation.

  • Arbitration proceedings where bondholders of a failed European bank are taking action against a European government for its alleged regulatory non-intervention to save the ailing bank.
  • Expert advice in arbitration case relating to a Joint Venture dispute in a European consumer credit business between two parties
  • Assisted lawyers to assess the case merits relating to breach of warranties in the contexts of a fund of hedge funds transaction
  • Testifying expertise in an arbitration case Switzerland around exotic interest rate and forex products. Quantum of claim was $1.5 billion.
  • Expert advisory services in a large litigation case where the plaintiff, a global Investment Bank sued and Investment Fund, the client, to recover approximately USD 250 million due principally in respect of amounts owed on the closing out of derivative positions following unmet margin calls.
  • Provided expert advice for a global investment bank that has allegedly been mis-booking and entering into a number of unauthorised forex transactions for a private client.
  • Investigation into the sale of a multi-billion portfolio of complex Forex hedging instruments to a corporate in the Middle East in order to advise the corporate on a possible plan of action to help unwind the hedges and start proceedings against the banks responsible for mis-selling these products.
  • Investigation of a global asset manager In London into rogue trading activities performed by two of its traders
  • Expert report with respect to alleged insider share trading by a number of parties in the Middle East in response to a regulatory investigation.
  • Valuation of sulphur mines in Russia as part of a dispute.
  • Advised a Turkish power provider in an arbitration case relating to a power purchasing contract.

Advisory Services

CEG’s Quantitative Finance practice advises clients in a number of situations such as:

  • Securities’ transactions
  • Portfolio valuation
  • Financial and regulatory reporting
  • Valuation governance and control reviews
  • Risk hedging and mitigation
  • Model validation
  • Valuation of incentive schemes

Irrespective of our clients’ needs, we always provide independent and sound advice where the emphasis is on quality and transparency. We have the ability to build and validate bespoke models that are suitable to the particular situation. We also provide our clients robust advice as to how they should quantify, monitor and manage their risk.

  • Advised a European banking group on the acquisition of a number of smaller banks and distressed loan portfolios collateralised through real estate assets. Provided advice relating to the impact on risk-weighted assets, capital adequacy and liquidity of the bank as a result of the acquisitions and portfolio restructuring
  • Advised a large Japanese bank on the disposal of various loan portfolios and portfolios of structured products (CDOs, CLOs, RMBS and CMBS) to a Japanese asset manager
  • Advised a European Bank on the acquisition of a number of distressed loan portfolios including corporate, SME, commercial and residential mortgages. This included building a bespoke loan portfolio evaluation tool for the bank.
  • Structuring and valuation of compensation structure for a European hedge fund to incentivise managers. This included devising appropriate performance measures tied to the fund’s strategy.
  • Portfolio valuation of a fund of hedge funds in Switzerland
  • Advised a large UK insurance group on risk measurement and management of a major stock lending transaction
  • Valuation of embedded derivatives in gas contracts with regard to an acquisition of a US energy group
  • Valuations of an acquisition of a mining group by a large global mining player.
  • Performed quarterly valuations for a major US hedge fund with regards to their commodity, including metals, biofuels, and energy assets for financial reporting purposes
  • Valuation of securities in a complex capital structure for investors in a car park network in the UK
  • Valuation of a number of power plants for restructuring purposes in emerging markets
  • Valuation of Gas Fields in Africa for a major Asian Group.
  • Providing advice on the valuation of LNG contracts.