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.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Velasquez Casado, Silvia Ines
• Qin, Yutong

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-011411-164520

Advisor

• Abraham, Jon P.
• Gerstenfeld, Arthur

Year

• 2011

Center

• Wall Street-FinTech Project Center (London) - MQP

Sponsor

• Royal Bank of Scotland

Date created

• 2011-01-14

luogo

• London

Resource type

• Major Qualifying Project

Major

• Actuarial Mathematics
• Industrial Engineering

Rights statement

• In Copyright