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.