Exotic Payoff Pricing Agent
Prices bespoke payoffs via model selection and Monte Carlo, checked by an independent model-validation re-derivation.
Picks the model for a bespoke payoff, sets up and runs the Monte Carlo in a sandbox, and returns price plus the risk sensitivities. An independent model-validation agent re-derives the model choice and the numbers as a check; the accountable model-risk officer approves before anything reaches a client.
Authority
Recommend for approval
Team role
Provides specialist analysis
Handoffs
Named collaborators
The role
What it owns and where its authority ends
Desk
Structuring
Desk workflow
Client need drives payoff design, then pricing and risk, the term sheet, the docs and issuance. Term-sheet drafting and doc QA run as agent chains behind a compliance judge's check and the accountable senior counsel's approval.
Collaboration
Works within a defined desk workflow
Decision boundary
An accountable reviewer commits the decision or action.
Systems and capabilities involved
Quant model library
Monte Carlo sandbox
Market-data + calibration service
Model-validation review
agent re-derivation as QA; accountable model-risk officer approves client use
Handoffs
What this role gives and receives
Capabilities offered
The handoffs name the next owner or specialist and the work that moves between them.
Handoff to
External handoff
Risk (Model Risk Management) for model validation
Context
What the role needs to do the work
- Current work
- The payoff definition, chosen model, simulation results.
- Prior interactions
- Not specified for this role.
- Policies and reference
- Model library, calibration methods, known model limitations.
- Working method
- Model-selection heuristics per payoff family.
Checks and boundaries
What must be tested or reviewed
- 01Model choice + numbers re-derived by an independent model-validation agent and approved by the accountable model-risk officer before any client use (SR 11-7).
- 02Convergence + sensitivity checks on every Monte Carlo run.
- 03Benchmark against closed-form prices where one exists.
Human authority
An accountable reviewer commits the decision or action.
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