- Enterprise Wide Risk Management and Capital Allocation
- ALM und Treasury
- Liquidity Risk
- Basel II and Regulatory Compliance
- Front-, Middle and Back-Office Systems
- Credit Risk
- Market Risk
- Market Data Management
- Operational Risk
- Pricing and P&L Calculation
- Accounting, Controlling & Management Reporting
- Training and Seminars
Market Data Management
- Analysis of correct and adequate supply of trading data to the finance department of a middle-sized German bank
- Implementation of Asset Control for a middle-sized German bank with the purpose of supplying RiskWatch with market data for risk assessment and, in subsequent implementation steps, for a central supply of the entire bank with historical market data
- Implementation of the market database Asset Control for market risk management assuring market conformity for a large German Landesbank
- Implementation of a transaction-oriented, real-time trade datafeed to a central, integrated risk management system (market and default risk) based on middleware/EAI software (IBM MQSeries). This involved: the evaluation of an XML data model and specification of the mapping to the Summit front end; automated regression testing
- Conceptual design and implementation in an ongoing development of the market database Asset Control for a large German investment bank; interim management of the operational market data team
- Support of a large German bank in the Euro conversion of its market data supply
- Construction of a bond database; conceptual design and implementation of term structure and spread curve algorithms, volatility surfaces; support in the implementation of credit spread VaR
- Study conducted to analyze the application of Asset Control as the central tool for the valuation of funds and computation of indices and benchmarks for a large German asset manager
- Provided a detailed technical report on the potential application of Asset Control for fund pricing as well as for the computation of indices and benchmarks for a large German asset manager
- Implementation of Asset Control for fund pricing for a large German asset manager
- Specification, implementation and quality control of a market data interface (Bloomberg) and of algorithms for processing data, as well as the computation of implicit parameters (volatility surfaces, etc.) for a major German bank
- Specification, implementation and quality control of a comprehensive market data database for the risk management department of a large German bank
- Specification and implementation of an algorithm for a large German bank to calculate the spread curves of corporate bonds grouped by rating and industry sector
- System selection of a market database for a middle-sized German bank
- Various analyses for the quality control of "credit spread"- VaR computations for a large German bank
