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Specialist advice on methodology & processes

New rules demand in-depth expertise

In recent years there have been rapid and increasingly complex changes in the regulatory framework governing the financial industry. The wide-ranging measures introduced from Basel III and Solvency II through to EMIR affect all market participants. At the same time, and not least due to the credit crisis, there have been many changes in the valuation and risk management methods used for financial products. By way of example, the valuation of OTC products now requires a much deeper understanding of interest curves than was previously the case.

 

Project work often involves having to combine several of these issues. For example, hedge accounting and collateral management systems have to take account of new valuation practices for interest rate and currency swaps.

 

In recent years, we have helped many of our customers to deal with the necessary process of change by introducing new methods and adapting their processes accordingly. You can be confident that our specialist teams are always fully conversant with the latest methodologies. Reflecting d-fine's highly collaborative approach, our specialists work closely together to ensure the success of our customers' projects.

 

Our overarching project methodology is based on ten years' experience. It can help to deal with organisational issues such as the structuring of projects or the production of cost estimates for individual tasks. Equally, it provides methodological support e.g. on the 'overview-tight' documentation of processes.

 

References specialist advice

Benchmarking of risk modelling
Project objectives
  • Appraise the risk modelling of a German financial institution through benchmarking with the market standard on credit risk, market risk and inter-risk aggregation.
  • Evaluate the handling of derivatives in terms of the measurement, control and avoidance of counterparty risks.
Tasks assigned to d-fine
  • Risk modelling appraisal.
    • Quality assurance of approach to appraising the risk modelling.
    • Quality assurance of results and support in producing a presentation of results for management.
  • Counterparty risk derivatives.
    • Analysis of the regulatory requirements.
    • Conceptional and strategic assessment of handling counterparty risks, benchmarking the determination of exposure.
    • Creation of options for developing the measurement and control of counterparty risk and performance of test calculations.
    • Assessment of available infrastructure and rough planning of possible implementation of options.
Risk management handbook
Customer type and project objectives
  • Planning and initial drafting of a handbook for the risk management department of a German bank.
Tasks assigned to d-fine
  • Project management.
  • Categorisation and gap analysis of available documentation.
  • Addressing of need for action in relation to the existing documentation.
  • Preparation and conducting of interviews and workshops with participating members of management to develop suggestions for the handbook structure.
  • Formulation and agreement of the structure and planned content of the handbook.
  • Production of the initial version of the handbook.
  • Drafting a procedure for updating and maintaining the handbook.