Consulting: Financial markets, risk management, processes & systems

Front-to-back systems & processes

• Customization and enhancement of trading systems (e.g. Sophis Risque, Calypso, WallstreetSTP, Tradestation, TWS)
• System migration and upgrading issues (gap analysis, requirements engineering)
• Product evaluation and vendor selection processes
• Analysis, design, review and optimization of front-to-back processes, e.g.
  • Pre- and post-trade analysis
  • Order algorithms
  • Straight-through processing (STP)
  • Market & credit risk measurement and management
  • Portfolio and cash flow management
  • Settlement, accounting, auditing, compliance
• Database modeling, design and setup of tailor-made reporting and BI solutions

Financial engineering & modeling

• Design and review of risk and pricing models for all major systems
• Structuring of derivatives (retail and OTC)
• Index and ETF composition

Trading, hedging and portfolio strategies; market research

• Market research using proprietary smart auto-adaptive technical indicators
• Strategy design, review, testing and implementation
• Order book / T&S transactional flow analysis and distribution pattern identification algorithms (self-learning neural networks)
• Short-term and high-frequency trading setups
• Mid-term statistical arbitrage (e.g. spread trading, sector rotation)
• Stress testing, back testing, what-if-scenarios
• Performance measurement and attribution

Risk management & compliance

• Servicing the complete risk management process
  • Identifying risk exposures
  • Measuring risk exposures
  • Assessing the effects of exposures
  • Finding ways to shift or trade risks
  • Assessing costs and benefits of the different ways
  • Forming a risk mitigation strategy: Keep, avoid, transfer, mitigate
  • Evaluating performance
• Market risk: VaR, simulations, stress tests, scenarios, EVT
• Credit risk: LGD, PD, EAD, EDF, ratings/transition matrices, systems (KMV, Credit Metrics, Credit Risk+)
• Operational risk: LDA, severity & frequency, methods (top-down, bottom-up, IMA; BIA, SA, AMA), model risks
• Design and implementation of risk management programs and GRC concepts
• Assisting in compliance issues: BaFin, MiFid, Basel, Solvency, DerivV, KAG, MaH, MaRisk, NPP, IFRS, IAS, SOX, OpRisk, SEC, FSA, CFTC
• Value-at-risk (VaR): Delta-normal, historical simulation or Monte-Carlo-simulation; LVAR, CFAR
• Regulatory and economic capital, assessment approaches: Standardized, Foundation, Advanced (IRB)