Faculty Advisor

Abraham, Jon P.

Faculty Advisor

Gerstenfeld, Arthur

Center

LOND / London Project Center

Abstract

This project was the creation of a prototype for the current RBS system to provide better insight into the credit aspects of a portfolio especially for credit-constrained counterparties. We developed an excel-based tool that provides three methods for optimizing the use of credit in portfolios and invented our own additional strategy. The tool will be used as a desktop application for salespeople with a goal of finding further trade opportunities. An initial trial of our tool revealed an astonishing ten million pounds trade opportunity that current RBS systems would not have been able to detect.

Publisher

Worcester Polytechnic Institute

Date Accepted

January 2011

Major

Actuarial Mathematics

Major

Industrial Engineering

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

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