Quant Edge Solutions
Quant Edge Solutions | RiskEffects Software | Outsourcing Services | Consulting

 

Consulting services

 

 

 

Quant Edge Solutions provides on-site support to clients with a view towards managing complex tasks in the areas of Risk Management and Financial Engineering. Thanks to our extensive project experience in the aforementioned areas at leading institutions in the financial services sector, we are able to support you in realizing your challenging project objectives at every stage of the process. Our competencies range from the initial business analysis and creation of the business requirements documents all the way to the implementation and subsequent test phase of the project.

Our consultants and quantitative developers are highly experienced in all areas of Risk Management and Financial Engineering. The following list provides a non-exhaustive overview of past project work:

 

Market Risk

• Implementation of Models for the calculation of regulatory risk capital requirements (Historical, Monte-Carlo, und Delta-Gamma VaR approaches)

• Back testing VaR and Expected Shortfall models

• Development of a user-friendly limit reporting infrastructure

• Calculation of various sensitivities (DV01, Duration, Analytical Greeks, Monte Carlo Greeks etc.) for complex financial products of all asset classes including the definition of suitable plausibility checks

• Development of suitable market data quality control checks with a particular emphasis on ensuring the use of consistent and arbitrage free data for volatility surfaces and interest rate curves.

 

Credit Risk

• Implementation and consistent calibration of Credit VaR models

• Calculation of key input parameters including Default Probability (PD), Exposure at Default (EAD), and Loss Given Default (LGD)

• Estimation of Default-Correlations (One-Factor and Multi-Factor models)

• Development of internal rating systems and validation/back testing of existing internal rating systems

• Implementation of credit scoring models for the estimation of default probabilities (PD) for illiquid loans.

• Calculation and reporting of key regulatory numbers: Expected Positive Exposure (EPE), Potential Future Exposure (PFE) using RiskEffects

• Credit Portfolio Management

 

Operational Risk

• Development of an IT-Infrastructure with a view towards mitigating operational risks

• Definition of a trade-validation workflow that is consistent with the four-eye validation principle.

• Definition of Key Risk Indicators

 

Financial Engineering

• Performing Market Conformity Checks in accordance with MA-Risk regulations

• Econometric modelling of important risk factors

• Validation of existing pricing models (Model Vetting)

• Developing stress tests with a view towards checking the consistency and stability of valuation models under extreme market conditions

• Hedge Accounting

 

 

 

 

 

Bad Homburg

Head Office & Consulting Services

In den Hessengärten 24

61352 Bad Homburg

T: +49 6172 923 3752

contact@quantedgesolutions.com

Quant Edge Solutions

 

 

 

 

Frankfurt Office

RiskEffects Software Services

Thurn-und-Taxis-Platz 6

60313 Frankfurt

T: +49 (0) 69 257 375 270

F: +49 (0) 69 257 375 25

 

 

 

 

London Office

One Canada Square 29th Floor

London, E14 5DY

 

 

 

 

Toronto Office

19-13085 Yonge Street,

Suite 120 Richmond Hill

Toronto Ontario L4E 0K2

T: +1 (416) 909 93 70

 

 


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