SEB is a large provider of services within secured financing transactions, SFTs, - most notably Equity lending and repos. As a consequence of market-making in these transactions, the bank is obliged to post securities to trade counterparties as collateral.
Since securities in general have a cost associated with collateral (e.g from lending in market), it is important for a bank to post cheapest possible collateral while still fulfilling contractual agreements/constraints. These constraints include:
- Different counterparties accept different types of collateral.
- Haircut on securities
- Concentration-limits in security types
In addition to this, SEB must also consider:
- Inventory of collateral
- Integer-limits constraints
- The order in which transactions are executed
SEB currently have an in-house model that could handle the optimization under some simplified assumption. One important simplification is that the model ignores the order in which suggested transactions are executed. A problem with is closely related to a scheduling-problem.
This simplification currently restricts the movement into full automatization since SEB cannot guarantee that all transactions can be executed independent of each other. Hence SEB is now looking for a thesis-worker during fall 2019 to improve SEB’s capabilities in this area.
A relevant background for a thesis-worker would be in mathematics with focus within Optimization. The data-model to be used is written in Python with an SQL-interface why experience with these languages would be seen as a benefit.
Contacts on SEB
070-739 48 62