Built on financial expertise. Proven in institutional use.
Gamma Impact was founded in 2009 by Leon Sandler, a well-known expert in valuation, risk management and model validation in Israel, who has advised, trained and validated models for most of Israel's banks and insurance companies. Gamma Impact develops valuation, risk analytics and OTC data-processing software, used today by banks, insurance companies, an investment house and hedge funds in Israel.
From consulting and training to software
For two decades, Leon Sandler and Gamma Impact trained, advised and validated models for most of Israel's banks and insurance companies, for investment houses, and for regulators including the Bank of Israel and the Israel Securities Authority.
Over those years, we met the same gaps again and again:
- Valuation tools built for the largest banks, not for mid-sized firms.
- Few tools for managing portfolios at institutional investors: a clear view of value and risk across the book.
- A great deal of manual work, and the operational risk that comes with it.
- Valuation services priced beyond what a mid-sized book can justify.
- Calculations the existing systems don't perform, and ad-hoc analysis that's hard to run on them.
Gamma Impact's software was built to close those gaps, and software is now the company's core business.
Two decades of teaching and training shaped how it is designed, too. Leon Sandler has taught derivatives and risk management to some 6,000 people: about 5,000 university students, and about 1,000 professionals in front, middle and back offices, risk management, treasury, audit and accounting, and at regulators. He teaches at Reichman University today. The products are built the way he teaches: consistent names and parameters, a worked example for every function, manual calculations that show each step, and logs that explain every result. Methodological choices are visible parameters, not hidden assumptions; a missing input is reported, never filled in; and every function is documented publicly, so a model validation team can check it before it buys. Software that is easy to learn, and easy to check.
Team
Leon Sandler, founder and CEO
Almost three decades in financial markets: before consulting and Gamma Impact, he worked in asset and liability management and in risk control at Bank Mizrahi (today Mizrahi-Tefahot), and ran the collateral and product development unit at the Tel Aviv Stock Exchange. MBA in finance and accounting, and BA with honours in Economics, both from Tel Aviv University.
Teaching. Teaches derivatives and risk management at Reichman University (formerly IDC Herzliya) since 2006; previously at the Hebrew University of Jerusalem.
Book. Co-author, with Prof. Zvi Wiener, of Financial Instruments and Risk Management (in Hebrew, published by Globes).
Alexey Khorev, head quant
Researches and implements the valuation and risk models, choosing for each instrument and risk measure the methods that suit the market and the data. MSc in Applied Mathematics and Physics from the Moscow Institute of Physics and Technology (MIPT).
In use today
Banks, insurance companies, an investment house and hedge funds in Israel run Gamma Impact software. Some examples of what they produce with it:
| Institution | What it produces |
|---|---|
| A bank | Greeks, VaR and regulatory capital adequacy on option positions |
| A bank | Margin add-ons for long-short equity positions, from empirical percentiles of relative performance |
| A bank | VaR, valuation of target accrual redemption forwards, and margin add-ons |
| An insurance company | Scenario analysis, DV01 and duration across bond and swap portfolios, reported to the investment committee, moving to the API |
| An insurance company | Greeks and scenario analysis across nostro and managed equity portfolios, reported to the investment committee |
| An insurance company | Ad-hoc verification of bank valuations |
| An investment house | OTC valuations, replacing a bought valuation service, moving to the API |
| A hedge fund | Valuation and risk across an OTC portfolio, with both mappers in production |
| A hedge fund | Volatility and correlation estimation |
From ad-hoc verification, through investment-committee reporting, to regulatory capital.
Contact
Gamma Impact Ltd
Nirim 5, Rishon Lezion, Israel
+972-3-5343333
info@gammaimpact.co.il