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Integrated Valuation

Tackle new business innovations and regulatory requirements...

Typical challenges are

  • Scalability constraints for complex valuation & risk analytics
  • Improvements to methodology frameworks and implementation strategies for numerical solutions
  • Ensuring adequate price and margin calculations
  • Real time portfolio management and pre-deal checks
  • Consideration of collaterals, break clauses, rating triggers, funding costs
  • Efficient implementations of complex valuation and risk models
  • Market and reference data management, as well as data science and analytics
  • System implications while upgrading valuation frameworks, e.g. Numerix CrossAsset XL to CAIL or CAS
  • Maintainability and IT architecture constraints
  • Flexibility constraints by mixing trade data, models and reports
  • New and diverse regulatory requirements
  • Keeping a balance between regulatory requirements and business needs
  • High operational risks due to significant manual efforts
  • Spreadsheet based or manually managed valuations
  • Reduce costs and time to market

...with efficient solutions for valuation and risk analytics. We help financial institutions integrate valuation & risk analytics…

Our Services comprise

Specialised Business Knowledge in Valuation & Risk Analytics

  • 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, etc.

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, etc.
  • 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, etc.
  • 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, etc.

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 CrossAsset XL 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

…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 a reduced time to market by

  • Understanding the clients’ goals and needs (requirements engineering & change management)
  • Taking advantage of strong partnerships and long-standing 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

Consistent Valuations & Data Flows

Organisation wide consistency of valuation & risk analytics is the fundamental basis for

  • Effective decision making based on reliable and coherent valuation results
  • Minimising reconciliation time and costs
  • Effortless regulatory reporting as well as  reliable and meaningful reporting towards clients and other stakeholders

Reduction of Complexity & Increased Flexibility

Holistic solutions for valuation & risk analytics can combine the following often adverse goals

  • Flexibility: for valuation amendments and ad-hoc opportunities
  • Transparency: quickly gain a broad view while still providing all details if necessary
  • Simplicity: reduce methodological and system complexity

Optimised IT Infrastructure & Maintainability

Optimised IT infrastructure and reduced maintenance costs for Business and IT are achieved by providing solutions which

  • Guarantee a clear separation between Business and IT responsibilities
  • Provide coherent and future proof APIs to encapsulate underlying systems
  • Deliver efficient and integrated workflows for valuation & data management

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.

Migrating From Numerix CrossAsset XL to 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.

Reference CVA Trading Desk

Long-standing Partnerships with Research Facilities and Software Vendors

Contact

Dr. Steve Maskaleut

Dr. Steve Maskaleut

Rupert Hughes

DEVnet GmbH
Nördliche Münchner Straße 14a
82031 Grünwald
Germany

Postal address:
Postfach 330611
80066 Munich
Germany

Contact

Contact

* optional

Technologies

  • 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
  • Forecasting and Simulation
  • Optimization Methods
  • Derivatives
  • Valuation Services
  • Quant Development
  • Front to Back Integration
  • Migration Methods
  • xVA, CVA, DVA, FVA
  • Model Validation
  • Market & Counterparty Risk
  • CRR, CRD, MAD, MAR,
  • EMIR, REMIT, MiFID II, MiFIR,
  • IFRS, IFRS9, FRTB, MaRisk
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