Our Services

Currency Risk | Yield Curves | Macro Outlook | Capacity Building

We build yield curves for developing and emerging markets and advise central banks, IFIs, and corporates, and foster their capacity

Bespoke yield curves

  • Yield curves tailor-made to the client, market, and instrument
    We combine observable market data and macro-fundamental analysis to provide tools for theoretical fair-pricing of financial instruments in poorly developed local capital markets
    IRS, CCY swap and forward curves, zero coupon and par curvesRisk-neutral and risk-compensating curves fitting client's risk-return preferences and mandatesPrimary and secondary market data cleaning and collection, liquidity premiums and risk adjustments
    Model-based interpolations and extrapolation combining market data with macroeconomic and financial sector intelligenceFull documentation for regulatory purposes
    Special focus on data-poor, emerging and frontier market economies
    Processes audited to ISAE 3402 standard
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    EBRD TCX

Exchange Rate Forecast and Risk Rating

  • Macroeconomic outlooks
    5-year horizon, unique coverage with focus on emerging and frontier markets
    Forecasts based on combination of rigorous models and expert judgment, underpinned by our extensive experience in emerging markets
    Concise and compact analytical texts explaining rationale for forecast and qualifying risksAd-hoc consultations and flexible topical analysis driven by client requests

  • Model-based risk rating system
    90+ emerging markets
    Assessment of short-term and long-term investment risks 
    Regular updates to incorporate latest available dataSuitable for clients with LCY exposure who are in need of risk assessment and monitoring
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    Macro Forecast Macro Risk  

Tailored advice

  • Monetary policyTransitions to inflation targeting and flexible exchange rate
    Reforms of monetary policy operations
    External communications and internal decision-making processes
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    Bank of Russia Bank al Maghrib  
  • Money market developmentAnalysis and assessment of current state, charting roadmaps for reforms and development
    Development of benchmark yield curves
    Islamic banking and related issues
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    Brunei 
  • Evaluations of programs, economic reforms, and institutionsEvaluation of macroeconomic programs and instruments implemented by public institutions
    Analysis of capacity-building programs and institutions
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    European Commission 
  • Fiscal policyBudgetary forecasting and model-based simulation of budgetary impact of structural reforms
    Fiscal sustainability assessments
    Operation and methodological development of fiscal surveillance systems
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    OECD 

Capacity Building

  • Macroeconomic modelingLatest concepts in building DSGE and empirical models
    We train clients in developing and using sound structural models tailored to client’s needs
    Our models are used world-wide for medium-term and short-term forecasts, monetary and fiscal policy analysis, macro-prudential analysis, and stress-testing
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    Bank of Russia SAMA  
  • Monetary policy operationsLiquidity forecasting, monetary operations design
    Conventional and Islamic operations
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    Brunei 
  • Forecasting and Policy Analysis System (FPAS)Designed to support decision-making processes within central banks
    Bespoke models tailored to fit key features of local economy and central bank’s needs
    Hands-on approach, working side-by-side with client’s staff to ensure they obtain ownership of models and tools
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    Bank al Maghrib National Bank of Ukraine  
  • Monetary policy communicationWriting external and internal reports on monetary policy
    Communications strategy and tactics
    Designing cycle of monetary policy communication events
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    National Bank of Georgia 

In-depth analysis
We provide macroeconomic insight into markets in general and in particular into regions where our research needs to overcome the challenges of scarce data, political instability and structural imbalances.