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Financial

Institutions

Your issues...our answers

Do you need a multi-curve framework incorporating OIS discounting, cross currency and tenor basis?

  • Our MIRCL library (DLL, Excel) generates an interest rate surface and includes a pricing tool for generic interest rate swaps and bonds. 

Do you need a sanity check of your investment model? 

  • We can independently replicate your investment algorithm, test it by simulation, scenario analysis and historic analysis. We provide reports and supporting material for marketing.  

Do you need an expert report to support your claims or defense? 

  • Credible reports and witness services can only be provided by experienced people who work in financial markets, know how to price, hedge and structure complex transactions themselves.
 

Your issues...our answers

Are you looking for state of the art pricing models and libraries for FX Options?

  • Our F(x) library generates an FX smile from market data and computes price and sensitivities of exotic options. We also developed libraries using local volatility models and stochastic volatility models. They can be provided with spreadsheet and python interfaces. 
Do you need an independent validation of your pricing model?
  •  Our consultants have many years of practical experience covering valuation in all asset classes. The combination of our academic background and proximity to the market guarantees highest standards for your business. 
Do you need support to meet all financial regulations?
  •  New financial regulations have a large impact on financial instruments. We can help you improve your valuation models, adjust your market data feed or optimize your IT infrastructure. 

Corporates

Common issues...

  • Can you tell your corporate banker, how a one big-figure move in EUR-USD (or any other relevant currency pair) affects your year-end P&L?
  • Have you ever verified the efficiency of the risk management strategy and have your hedging strategies been broadly successful in the past to protect your P&L?
  • Have you ever validated the existing competence of your finance/treasury department and consulting firms?
  • Have the basic principles of your hedging strategy ever been discussed with shareholders to avoid potential legal claims against management?
  • Has the hedging strategy been noted in writing and communicated internally to ensure its proper implementation? 

And how we can help...

  • Management/support requests for proposals
  • Comparison of hedging solutions for FX / IR risk
  • Precalculation of levels
  • Critical questions to banks
  • Carefully prepared negotiation with banks and control of best execution
  • Independent valuation (pre-trade and post-trade)
  • Verification of accounting suitability
  • We help to select pricing / risk management tools
  • We help to avoid „bad deals“ and if necessary,  we support the litigation process
  • We train your staff until knowledge transfer has been reached and if complex risk situations have been identified, we also train decision makers

Public Institutions

Relevant questions

  • Does extreme volatility in financial markets (e.g. in Swiss Francs/CHF) lead to P&L drops in your balance sheet or offset your financial cash flows? 
  • How do you plan for unexpected changes in market volatility, or how do you react if in some cases the use of hedging instruments (derivatives) has not fulfilled their goals or have failed entirely?
  • Why is the efficiency of hedging measures below your expectations?
  • Was it because of the products used (the kind of derivates), an insufficient or missing risk advisory, an overly aggressive price or an unfortunate correlation between various factors?
  • How do I escape a disaster (e.g. EUR/CHF drop)? 

Answers

  • We determine the quantity of claims and who is responsible
  • We design and execute a hedging strategy. Limiting the remaining risk and loss potential is an effort worth taking
  • We provide and execute exit strategies, including coordination with supervisory bodies
  • We define a risk management policy together with you, set up hedging strategies that protect you from unforeseen market movements and protects you from legal claims
  • We help you find the business partners that really help you at a reasonable cost

 

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