References

Expansion Market Conformity Checks

Implementation of an end-user application for the automated verification of trades’ market conformity.

Independent model validation of pricing library for changing from single to macro hedges for own issues of structured equity derivatives.

Enhancement of P&L Explain to increase the efficiency of analyses of valuation and risk indicators and improve their informative value.

Preparation of a recovery plan for a leasing bank compliant with MaSanV, considering the simplified requirements for an LSI.

Selection and statistics based parametrisation of a tool for surveiling order and trade based market abuse over all product classes.

Pre-study for Dynamic Volatility Adjustment (DVA) using a Smith-Wilson extrapolation in market risk measurement.

Refinement of balance sheet reporting by standardisation of the data basis and further automation of the calculation logic.