Quant Solutions

Alpha Generation – Trade Ideas

A selection of models that generate systematic trading signals on a regular basis across a range of asset classes, including FX, volatility, interest rates, credit and commodities.

Quantitative Research

We publish detailed quantitative research papers, describing new research, methodologies and models across a wide range of topics, including asset allocation, credit curve modelling and volatility trading.

The Quantitative Analysis Toolkit

Through RBSMarketplace choose from our range of online Quantitative Analysis charting, monitoring and analysis tools that give you:

• A snapshot of volatilities and correlations for the currency market, together with fair value estimates for ATM implieds.
• Historical spot and volatility charting.
• Probability of a revaluation or devaluation of spot from the volatility surface quoted in the options market.
• Analysis of the basis between ATM implied volatility and historic volatility.
• Full, live volatility surfaces for 21 major pairs.
• Analysis of the basis between option premia of different tenors.
• The back testing of option trading and hedging strategies.
• A proxy for a volume-weighted benchmark for the currency markets, constructed from actual transaction data.
• Detailed insights into intra-day and historical liquidity for the spot markets.
• Insights into currency market movements using the RBS Intrinsic Currency model