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Announcing ...

tycheTM now in Beta.

tycheTM is a "new generation" actuarial platform offering state-of-the-art analytic capability, ground breaking performance and "ease of use" for both actuaries and hard core quants alike.

Model in the languages you know, VB, C#, C++ with the added benefit of "flow chart" style coding - flowgramming TM.

We're getting ready for the first production release in February 2014 and are looking for Beta testers and early adopters now...

Find out more ...

Leave the Tough Stuff to Us!

Whether you need actuarial support to to bolster in-house quant resource, or whether you'd like to outsource a turnkey solution, our team is ready to help. Marriott Sinclair was formed to design, implement, deliver and support leading-edge actuarial and financial modelling solutions either on-site using specified systems or utilising our own ultra fast GPU parallel simulation engine, tyche TM.

Our actuarial expertise spans several areas including Economic Scenario Generation, Asset Modelling & Portfolio Construction, Asset Liability Management, Capital & Risk Analysis, Reinsurance Program Design and many other areas. On the banking side, our expertise focuses on uses of numeric optimisation. A recent client project supported the numerical optimisation component of a mission-critical Collateral Management system.

Project & Team Management skills ensure projects are clearly articulated, communicated efficiently, complete on time, to budget and are delivered to the highest quality.

New Partner ...

We are delighted to announce that Alun Marriott has joined Marriott Sinclair as Managing Partner; bringing over 20 years experience across the risk, economic modelling, trading and structuring landscapes.

His prior roles have provided some of the largest global financial institutions with market and economic risk analytics, ALM and associated consultancy services, but most notably to the insurance and pension industries.

We look forward to sharing our announcements as we expand the tycheTM libraries to address these areas in the coming months.

We would like to thank Peter Marriott, our retiring partner, for all his guidance and support and wish him a happy "partial" retirement

Mark Sinclair, Main Partner

Article: The Art of VaR Optimisation

In his recent article, Mark discusses the difficulties using numerical techniques to optimise business strategy where the objective is to minimise risk (or more specifically, Value at Risk, aka "VaR"). It is well known that VaR is unstable - one need only look at the VaR plot below right to see that even a simple two asset problem exhibits local instabilities that make numeric optimisation difficult.

However, all is not lost. Mark goes on to describe how a TVaR objective provides a far more stable surface - one that can be numerically optimised and importantly, one that displays relatively stable gradients that reduce the likelihood of getting locked into local minima.

However, a TVaR objective introduces challenges of its own - it effectively averages out the risks below the threshold chosen and a single point VaR measure, if stable, is often preferable.

Mark suggests that we should instead consider a multi step approach. He advocates that a TVaR optimisation (either linear or non-linear) can first be used to determine a starting point for a second step VaR optimisation.

As a further refinement, Mark then explores the suitability of splitting this second step again. Firstly, in Step 2a, perform a non-linear VaR optimisation to determine a further refinement to the starting point, then pass this starting point to Step 2b, where a further linear VaR optimisation hones in on the final answer.

Though seemingly redundant, multiple optimisation steps progressively improve the stability of the resulting optimum and helps avoid local minima issues seen when using a single step VaR approach.

Bespoke Engineering

Our engineering team can provide a turnkey solution from concept to delivery. We actively support knowledge transfer to ensure solutions migrate back "in-house".

Strategy Optimization

tyche TM is ideally suited to solve a wide range of financial optimisation problems accurately and efficiently.

Such problems might include reinsurance optimisation, determination of an optimal asset portfolio, or minimising capital requirements for insurers and banks. Stochastic optimisation is non-trivial and often tailored to the objective function - practitioner experience is key.

Knowledge To Count On

Mark's fluency across the financial, quantitative and actuarial arenas was honed whilst head of the Cambridge financial quant team at SunGard and at Siemens as a senior engineer specialising in numerical computing and GPU acceleration.

In contrast, Alun brings a market practitioner's perspective. As Global Product Leader at Towers Watson, Alun led the economic and asset modelling team providing economic and asset risk analytics to clients managing several trillion USD in funds.

As a team, we believe we can deliver market leading functionally, on time and to budget.

Economic Modelling

Summer 2014 will also see the release of the tycheTM ESG - A new breed of ESG generation capability.

tyche TM ESG will support, within a single framework, both Real World and Risk Neutral models including calibration, projection and scenario validation.

Capital Modelling

tyche TM has been designed to empower actuaries struggling with large scale, unwieldy models.

Nested Stochastic Modelling

With in-built SDE integration capabilities and robust calibration, tyche TM 's ground breaking speed will support "stochastic on stochastic".

In the past, due to limited computing power, providers have spent much effort developing nested approximations. The power of tyche TM now means that fully nested stochastic models are realistic.

 

  • Mark helped us solve a specific optimisation problem and produce the market leading solution. He was able to apply deep subject matter expertise of optimisation techniques to a complex financial problem and crafted an efficient and effective solution. He quickly understood the domain and implemented the technical aspects of the solution ...

    Ted Allen
    Vice President, Capital Markets - Collateral
    Sungard