Trading, Treasury, Risk, Compliance
We offer you a wide spectrum of services for the financial markets with predominantly prozessualen, quantitative or regulatory aspects. We use our know-how and skills to provide the best services.
Our services are cut on your specific question and enclose the following main focuses:
- Quantitative Finance
- Implementation and Optimisation of Trading Strategies
- Risk Management
- Umsetzung der bankaufsichtlichen Anforderungen: Clearing, MaH, MaK/MaRisk, Basel II, Grundsatz I
We have profound project experience with respect to the following trading systems:
- SUNGARD: OPUS, Front-Arena, Credient, Panorama
- Misys: Global Manager & Risk Vision
Here is a selection of our customer projects::
- Evaluation, Implementation and Integration of financials products (derivatives)
- Validation and Implementation of Pricing models.
- Evaluation of customized pricing methods.
- Use of our in-house library (operational component) ifs.pricing Wide product coverage of OTC derivatives and structured products
- Implementing of risk management approaches (market & credit)
- Optimisation of Portfolios and specific commercial decisions ifs.sbo (Bond Portfolio optimization)
- Development and integration of rating systems
- Merger & Acquisitions and other restructuring measures
- Integration, migration and interfacing
- Production Support and Application Management (1.-3.Level)
- Healthcheck and Performance Tuning
- Complete integration of credit derivatives (CDS,CDO,CLN,Baskets) to a front- and back-office system.
- Automatic migration of interest derivatives between to trading systems (OPUS-OPUS, Front Arena-OPUS)
- Automatic reporting and client notifications (IAS)
- Realtime connection: Implementation of a realtime transmission of trades to a risk management system.
- Product extension in a front office system: credit derivatives, exotic options, structured products, internal trades.
- Integration and Implementation of New Product Processes (NPP)
Profit & Loss (Extract):
- Extension and connection of customer specific market data.
- Concepts and implementation of applications for data migration of profit and loss reports
- Data migration for finance and reporting applications from Power Plus Pro (MS-Excel with Reuters-connection to access Reuters-functions) to Applix.
- Extension of front office data for net financial P&L.
Implementation and valuation of financial products (futures, options on futures, warrants (each related to currencies or commodities), credit derivatives (TRS, linear GCLS, FtD-GCLS, tranche basket-GCLS), exotic interest derivatives, bermuda swaptions, multiply cancellable swaps, window barrier FX-options, lookback asset swaps, warrants on swap rates, capped loans, cancellable loans) respecting the so-called “Grundsatz I” (German legal requirements) to an in-house simulation based risk analysis system for a large regional bank:
- Analysis & Evaluation
- Business and IT concepts
- Extension of the pricing engine and the risk kernel.
Extension of an in-house simulation based risk analysis system of a large regional bank: implementation and integration of new stress testing scenarios for Hull-White-volatilities.
Extension and adjustments of backtesting methods (clean backtesting) of an in-house simulation based risk analysis system of a large regional bank respecting legal requirements for risk analysis systems (German BaFin-Requirements). Preparation of the acceptance of the model by internal auditing and regulatory authorities.
Integration of the financial products FX-options, repos, USD swap notes, and fed fund futures to a risk management system, realtime interface to kondor++ via TIBCO-middleware (platform: solaris, WebObjects, Sybase, Java).
Market risk management system: performance optimisation of the valuation library SimCorp.
Error analysis and error corrections of an in-house simulation based risk analysis system of a large regional bank.
Automation of the portfolio reconciliation with a front office system and risk management system by design and implementation of a database application in a large regional bank.
Grundsatz I (German legal requirements): Validation of an in-house simulation based risk analysis system of a large regional bank respecting the “Grundsatz I” requirements:
- Comparisons of pv-results, stress testing results and VaR-values for different products (linear GCLS, FtD-GCL, tranche basket GCLS, quanto swaps, CMS caps, forward contracts on assets, options on futures and warrants (both for currencies and commodities), swap rate warrant, exotic interest derivatives, capped cancellable loans, options on assets with dividends (Asian, Bermudian, quanto, barrier), Comb shares, window-barrier-options.
- Matching of stress testing results, VaR-values and sensitivities an bank level using MS-Excel and MS SQL Server.
- Tests of new functions analysing covariances and betas.
- Tests of new functions for backtesting.
- Tests of new functions using UBS currency-pair volatility matrices.
- Interpolation methods for implicit volatilities of stock options.
- Study on the optimisation and extension of a risk management system by an interest structure model (Hull-White) for valuation and risk quantification of Bermuda options and multiply cancellable swaps.
- Study on the improvement of a hedge fund model with respect to maturities and VaR results of an in-house simulation based risk analysis system of a large regional bank
- Development of functional and IT concepts for data migration of trade types; functional concept for the product types swap, swaption, and cap from FrontArena to Opus.
- Study on the verification of the P&L of a front office system.
- Mergers, acquisitions and other restructuring measures constitute big changes for the company. High quality consulting services along the entire process is the base for successful results. The range of the consulting services starts with the evaluation of the goals and the related staff costs and ends up with the development and implementation of the data migration processes for a seamless integration of the business processes to the IT systems.
- Involve intellixx at an early stage and make use of our know-how along the entire process – make sure, that your company will take the right decisions. Moreover intellixx will contribute experience in the areas of quantitative analysis and financial engineering, extensive industry knowledge, and substantial expertise in the field. Leading financial institutions have benefitted from our services within merger, acquisition and restructuring processes.