Products and Services

Product Range

Our financial consulting services consist of strategy and corporate governance, risk advisory services, quantitative risk measurement and financial information technology services.

Strategy and corporate governance

◾Corporate governance structure and policy

◾Hedging vs. trading strategies

◾Trader compensation structure

◾Limit loss structure

◾Transfer pricing

Risk advisory services

◾Procedures for key controls

◾Design of trading controls

◾Straight-Through-Processing (STP) implementation

◾Performance measurement

◾Basel and MiFiD compliance and benchmarking

◾Sarbane-Oxley compliance

Quantitative risk measurement

◾Risk decomposition of complex structured transactions

◾MTM process and controls

◾Volatility and correlation analysis

◾Monte Carlo distribution analysis

◾Validating alternative VaR methodologies

◾FAS 133 / IAS 39 hedging compliance

◾Performance metrics for portfolio, trader both in trading and hedging

◾Stress test design

◾Capital allocation by units

Information technology

◾Trading system specifications and requirements

◾Vendor selection scoring

◾System configuration design

◾Contract negotiation assistance

◾System implementation

◾Report design

◾Interfaces to legacy systems using industry standards such as MDDL, Fpml etc.

Provided Solutions

Our expertise on financial modeling and technology enables us to provide our clients financial consulting services from start to finish. Here are just a few examples of the solutions we have provided

◾Advicing hedge fund on commodity diversification

◾System selection project for a multinational corporation

◾Design of trade flow and processing of derivatives for client with FO, MO and BO located in different countries

◾Requirement specification and system selection for commodities desk of a commercial bank

◾Extending SunGard’s Infinity interest rate trading and risk system for a variety of commodity derivative products

◾Portfolio optimization software package for major domestic investment bank

◾Credit derivative models for major international investment bank

◾Programming of VaR software package for online financial information provider to be used by service subscribers on portfolio risk management

◾Applications for pricing and hedging of various interest-rate, equity and commodity derivative instruments

◾Structured products valuation and trade management solution

◾Developing an interest-rate risk management tool for a real estate company

Financial Engineering

Quantifying Your Portfolio

Do You need independent advise to calculate the value of a complex financial derivative or of an entire portfolio? Do You need support with the valuation of financial products for your quarterly report or in the context of due diligence?

◾We provide in-house, transparent valuation models and independent market data according to “global best practices”; accurately and unbiased

◾We compare different valuation methods, comprehensively

◾We execute detailed error analysis and error estimation, competently and pragmatically

Assisting with the Implementation of New Products

You want to introduce new financial products and need competent short-term resources? You want to enter into new market segments and are searching for additional know how to do just that?

◾We develop together with you new valuation models for complex derivatives and structures for your own application

◾We analyze and develop hedging strategies

◾We integrate the new products into your existing software systems

◾We assist with the accumulation of know-how to evaluate products on a regular basis and develop the required tools

Certification of Models

You are implementing a new trading or risk management system and want to insure that the system evaluates your products correctly? Take advantage of our know-how and experience:

◾Application of systematic and comprehensive test concepts

◾Utilization of our own, state-of-the-art model-library

◾Extensive error and risk analysis

Technological Solutions

Where Finance Meets Technology

◾We have profound technical and theoretical knowledge, based on a thorough academic education, complemented by constant vocational training and, of course, comprehensive practical experience

◾We have in depth IT know how and comprehensive practical experience from many projects, from projects with shorter and longer time frames

◾We have specialists with profound knowledge in all standard risk quantification and risk management systems as well as specialized topics, such as commodity derivatives, credit derivatives, risk management, etc.

Ensuring Effective System Selection

Are You looking for a modern trading system? You want the best cost-benefit ratio? You want a reliable long-term decision? You are looking for an independent partner?

◾We identify and document your specific technical and technological core demands; precisely, all-encompassing and fast

◾We develop effective and stable architectures together with you; technically and technologically coherent and thought through

◾We compile detailed market overviews about suitable systems for you; extensively and focused

◾We compare your demands with the promises made by the software system suppliers; critically, competently and pragmatically

◾We create focused test concepts and test potential solutions together with you; thoroughly and constructively

Successful System Implementation

Your new risk management system is to go online quickly and effectively? You have to be able to fully rely on the produced figures? You cannot afford any project related risks? You are looking for an independent partner with extensive experience?

◾We take responsibility for the entire project management if desired; according to your own or to our project methodologies

◾We work with fully integrated project teams; from the conceptual phase all the way to the daily operations of the new system

◾We cover with our know-how all functional, technological and organizational aspects in all phases of the project, from the analysis and first conceptual plan to the implementation and testing all the way to the migration, user training and even support during the system’s day to day operations


Value-Adding Research  for Our Clients

Research forms the cornerstone of our business ideas and solutions. We do extensive research on financial markets which allows us to develop products that combine latest theoretical innovations with demands of markets. The objective for our research is to find answers to questions that our clients meet in practice and find solutions that help them overcome these challenges.

Currently the focus of our research is on commodity derivatives pricing and risk management. In particular, we concentrate on market data extraction, exotic derivatives pricing and coherent measurement of risk both on asset class, portfolio and enterprise level. Below are some research papers we have produced. These research papers are available at request.

◾Investing in Commodities – European Perspective

◾Commodity Value at Risk

◾Pricing Quanto Commodity Swaptions

◾Pricing of Bermudan Swaptions

◾Risk-neutral Probabilities Implicit in Option Prices

◾Pricing European Commodity Swaptions

◾Estimating Forward Curve for Commodities

◾Modeling Term Structure Dynamics of Commodity Forward Curve

◾Volatility of Commodity Forward Curve: Samuelson Hypothesis Revisited

◾Hedging Long-Term Commodity Forwards with Short-Term Futures

◾Optimal Diversification of Investment Porfolio with Commodity Assets

◾Sensitivity of Company Returns to Commodity Prices

◾Effect of Hedging on Company Value