Modelling the request for quote process

Contents

18. Modelling the request for quote process#

18.1. Introduction#

18.2. A general RfQ model#

18.3. Prediction of demand#

18.4. Probability of winning the RfQ#

18.4.1. Probabilistic framework#

18.4.2. Data-driven approaches#

18.5. Price discovery models#

18.6. Client profiling models#

18.6.1. Behavioural tiering#

18.6.2. Information asymmetry and adverse flows#

18.6.3. Client activity and attrition risk#

18.6.4. Axe matcher#

18.7. Exercises#