- Designated valuation and risk analytics for securities and portfolios across all asset classes
- Benchmarking, prototyping, cross-validations and improvements for valuation and methodology frameworks
- Consulting for adopting new valuation standards, i.a. xVA, negative interest rates, (x)OIS multi-curve frameworks
Are you consolidating, upgrading or migrating your valuation framework?
- Scalability constraints?
- Complex valuation & risk analytics?
- Consolidation of market data and valuations?
- How to balance business needs and regulatory requirements?
Tackle new business innovations and regulatory requirements with efficient solutions for valuation and risk analytics
Our services comprise
Specialised Business Knowledge in Valuation & Risk Analytics
Effective Implementations of Regulatory Requirements
- Integration of regulatory requirements into existing valuation and risk systems, i.a. IFRS, CRR, CRD, MAD, MAR, EMIR, REMIT, MiFID II, MiFIR, FRTB, MaRisk
- Transformation of non-audit conform, MS Excel based valuation landscapes to state of the art fully integrated systems
- Cross validations, xVA & potential future exposure calculations according to regulatory requirements
Valuation & Risk Analytics as a Service
- Innovative SaaS solutions for pricing and risk analytics, i.a. risk engines, periodic valuations or exposure calculations
- Outsourcing & out-tasking run and change services for business applications for Portfolio Management, Risk Management and Trading
- Integrated services for market and reference data management, as well as data science and analytics
Tailor-made Solutions for Portfolio Management, Risk Management and Trading
- Solution design and bespoke IT architectures and workflows to fit and scale specific valuation needs
- Innovative API technologies to facilitate front-to-back automation between classical FO and BO systems and valuation platforms such as Numerix CAIL, CAS etc.
- Fast integration of new technologies and standards, i.a. FpML, blockchain
Migrations, Upgrades & Transformations
- Migration planning and implementation of valuation and risk applications, incl. intensive prototyping
- Unique tools and experience to facilitate effective migrations and upgrades, e.g. from Numerix CAXL to CAIL, CAS, etc.
- Transformation of silo-shaped into service-oriented application ecosystems and distributed analytics cluster
Optimised Data Management for Valuation and Reporting
- Reporting and visualisation solutions for clients, regulatory agencies and further stakeholders
- Encapsulated, versioned and controlled market and reference data management
- Organisation wide integrated data and workflows with state of the art DWH and DB solutions
We help financial institutions integrate valuation & risk analytics to effectively challenge the complexities of the changing capital markets, quantify risk and build a new competitive edge!
Your benefits include
Scalable Valuation & Risk Analytics
Scalability is the key to perform state of the art valuation & risk analytics on a professional level and can only be achieved by jointly optimising
- Embedded algorithms and methodologies
- Applied analytics & calculation software
- Underlying IT architecture, systems and APIs
Smooth and Efficient Migrations, Upgrades & Transformations
Existing quantitative methods and models can be migrated, upgraded & transformed smoothly and efficiently with reduced time to market by
- Understanding the client's goals and needs (requirements engineering & change management)
- Taking advantage of strong partnerships and longstanding experience
- Applying comprehensive business, methodology and technology driven approaches
Audit Compliance & Cross-Validation
Our services provide clients with valuation and risk analytics solutions and include
- Compliance with audit and regulatory requirements
- Four-eye implementation standards
- Standardised tests and cross-validation processes
Our Track Record
Please find below some selected projects in this field
Innovative Technology and Fintech Collaboration Solve a Complex Multi-Billion Portfolio Valuation Need
This is the success story of a large German bank that sought assistance from DEVnet to undergo a major technological shift towards greater functionality in the management and valuation of a multi-billion Euro portfolio of complex derivatives and structured products. The technology driven business transformation was made possible through a strong partnership between Numerix and DEVnet and a solution design based on Numerix CAIL.
Implementation of a CVA-Trading-Desk for the treasury department as internal service unit
Enabling real time portfolio management and pre-deal checks to quickly react to market changes which included adequate price and margin calculations by taking internal and external requirements into consideration – in particular market proximity and acceptance by respective trading departments for risk-adjusted pricing of standard and exotic derivatives (incl. CVA, DVA and FVA).
Long-standing Partnerships with Research Facilities and Software Vendors
- Numerix Cross Asset Integration Layer (CAIL)
- Numerix Cross Asset Excel (CAXL)
- Numerix OneView
- Numerix Cross Asset Server (CAS)
- Numerix Template Studio
- Cross Asset Library
- High Performance Computing
Methods & Competences
- Business Analytics
- Trade Analytics
- Risk Analytics
- Risk Management
- Market Data
- All Asset Classes
- Portfolio Analytics
- Stochastic Models
- Multi Curve Pricing Framework
- Numerical Methods
- Data Science
- Data Analytics
- Machine Learning