Expansion Market Conformity Checks
Implementation of an end-user application for the automated verification of trades’ market conformity.
References
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.
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.
