Financial Pricing

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
• Business and IT concepts
• Extension of the pricing engine and the risk kernel.

Risk Management

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.