Finbridge has a deep knowledge in Financial Engineering regarding the mapping and valuation of financial products in many different asset classes such as Interest Rate Products, FX, Credit and Inflation. The necessary broad product, process and system knowledge is a central competence of our consultants. Furthermore, we successfully support our clients in current topics such as the implementation of Value Adjustments (XVAs) or Interest Rate Derivative Pricing. Forthermore, we focus on the relevant accounting standards for financial instruments and the measurement of hedge effectiveness according to IFRS.
Based on our many years of experience in Financial Engineering, we provide the necessary extensive expert knowledge in market standard valuations and risk systems.
Recent Financial Engineering projects include inter alia:
NumeriX OIS valuation – Special financial services provider
Summit OIS valuation – Mortgage Bank
Implementation of a model validation – State Bank
Implementation IFRS 9 – Special financial services provider
Optimisation of Accounting Processes – Special financial services provider
Overview of our main topics:
Product Analysis
Analysis of financial products to be valuated with respect to their valuation-relevant characteristics and their mapping
Set up or update of product catalogues / product data bases with focus on valuation models and market requirements
Generation of product and valuation matrices
Valuation of structured financial products
Specification of suitable valuation models
Selection and calibration of the market data needed for valuation
Selection and validation of methods by comparison of market values by usage of multiple valuation libraries
Analysis of the impacts on determination of valuation linked downstream ratios
Extension of existing valuation systems and integration of new ratios
X-Value Adjustments (XVA)
Hedge effectiveness due to IFRS
Selection and documentation of methods for prospective and retrospective effectiveness tests
Analysis of mapping and data
Validation of the hedge results of existing portfolios
Quantitative models and methods
Design and validation of models and methods to quantify risk and P&L