Abraham, Jon P.
Royal Bank of Scotland
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.
Worcester Polytechnic Institute
Major Qualifying Project
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