RIVACON advises banks and financial service providers on challenging topics in financial engineering, risk management, the design of valuation and data architectures, as well as in the application of predictive analytics and machine learning.
We have distinctive technical know-how in the development of integrated valuation platforms and have our own powerful valuation library.
VALUATION OF FINANCIAL INSTRUMENTS AND TRANSACTIONS (TRADE ANALYTICS)
- Development of valuation models for structured products and derivatives
- Valuation of embedded options in commercial products
- Independent validation of valuation models
- Independent price verification, prudent valuation, market conformity
- Measurement of the trade P&L, P&L explain,
PORTFOLIO ANALYTICS AND PORTFOLIO RISK ASSESSMENT
- XVA: Credit, debit-, funding, collateral, and capital valuation adjustments
- Counterparty credit exposure
- Credit portfolio risk
- Market risk
- Liquidity coverage
VALUATION AND DATA ARCHITECTURES
- Valuation libraries and integrated valuation platforms
- Market data management systems
- Master, product, and trade data systems
- Integrated data platforms and data-quality management systems
PREDICTIVE ANALYTICS AND MACHINE LEARNING
- Identification of mispricing
- Optimal order execution
- Adaptive strategies for bidding processes
- Optimization of the management of power plants and storage facilities
- Time-series analysis and forecasting
Dr. Sascha E. Engelbrecht
Sascha has been managing partner at RIVACON since 2017. He previously held a range of management positions in the finance and consulting industry: as Director and Head of the Risk & Analytics practice at Nagler & Company, as Senior Manager in KPMG's Financial Risk Management Advisory, as Head of Risk Analytics at Dresdner Bank and Commerzbank, and as Head of Data & Analytics at Aspect Capital, a quantitative hedge fund.
Sascha received his doctorate from the University of Massachusetts, where he subsequently worked as a research scientist in the fields of machine learning and bio-cybernetics.
Prof. Dr. Christian Menn
Christian is managing partner at RIVACON and one of the co-founders. Christian previously worked in equity derivatives trading at Sal. Oppenheim Jr. & Cie and DZ BANK - first as a model developer and later as a trader for structured equity correlation and index products.
After studying business mathematics at the University of Karlsruhe (TH) and earning his doctorate at the Faculty of Economics, Christian spent 18 months at Cornell University as a research assistant and lecturer in financial engineering. In 2013, he was appointed professor of Quantitative Methods at the Faculty of Economics at Mainz University of Applied Sciences.
Dr. Daniel Oeltz
Daniel is managing partner at RIVACON and one of the co-founders. He worked as a quantitative analyst at Sal. Oppenheim Jr. and Cie in the front office, as quantitative risk controller at Talanx Asset Management, and as head of quantitative analysis at Macquarie Group Germany. Within the scope of his activities, he dealt intensively with model development and risk hedging of derivatives in the equity, currency and interest rate sectors.
Daniel studied Applied Mathematics at the University of Bonn and received his doctorate at the Institute of Scientific Computing and Numerical Simulation.
Dr. Kay F. Pilz
Kay is managing partner at RIVACON and one of the co-founders. His professional career began at Sal. Oppenheim Jr. and Cie, as a front-office equity derivates quant. In his later positions at E. ON Energy Trading and Steag GmbH, he was responsible as Senior Energy Quant for modelling and implementing multi-commodity models, the valuation of gas storage facilities and gas swing contracts, optimizing power plant dispatching and hedging physical assets. Kay is currently developing statistical analysis and forecasting models some of which have already been integrated into productive trading strategies for the electricity markets.
After studying mathematics at the University of Frankfurt, Kay received his PhD in Mathematical Statistics from the Ruhr-Universität Bochum. He still publishes regularly in quantitative analysis and financial mathematics journals.
We are always interested in meeting talented and dedicated candidates. If you have sound knowledge or expertise in one of the topics mentioned above and if you want to be successful through commitment and would like to work for a young and dynamic company, then we look forward to receiving your application.
Please send your documents to firstname.lastname@example.org.