Full Value Evaluation/Delta-Hedging
Vendor software selection for unit commitment problems, full value evaluation and delta-hedging in long-term marketing of power plants with district heating
References
Improving Data Infrastructure
Prototypical implementation of a central database to test technical specifications and initial data governance concepts as part of digitisation program
Expansion Market Conformity Checks
Implementation of an end-user application for the automated verification of trades’ market conformity.
Validation of Pricing Models
Independent model validation of pricing library for changing from single to macro hedges for own issues of structured equity derivatives.
P&L Explain Enhancement
Enhancement of P&L Explain to increase the efficiency of analyses of valuation and risk indicators and improve their informative value.
Strengthening Credit Risk Management
Development of a credit risk exposure engine incl. front-end for more effective management of credit risks in trading and contracting.
Preparation Recovery Plan
Preparation of a recovery plan for a leasing bank compliant with MaSanV, considering the simplified requirements for an LSI.
Trade Surveillance
Selection and statistics based parametrisation of a tool for surveiling order and trade based market abuse over all product classes.
Advancement Internal Model
Pre-study for Dynamic Volatility Adjustment (DVA) using a Smith-Wilson extrapolation in market risk measurement.
Reporting Optimisation
Refinement of balance sheet reporting by standardisation of the data basis and further automation of the calculation logic.
