FX- and interest rate risks

For a commercial bank, we designed several models for the measurement and management of exchange rate and interest rate risk of the bank portfolio. The models were implemented as a prototype in order to be able to evaluate the models with regard to their quantitative impact. The most successful model was selected and implemented as a production system.

Evaluation of investment projects

For a manufacturing company we developed a model for the analysis of the risk of investment projects in large technical facilities. The model was implemented in a prototypical environment.

Analysis of protection architectures

For a multinational corporation we compared and evaluated architectures for the protection from large risks under cost and security aspects. Risk models were designed and prototypically implemented to make them accessible for quantitative analysis.

Aggregation of operational risks

For a software company we designed and implemented a component for the aggregation of operational risk.

Cashflow at risk models

For the sales and operations planning and the analysis of business plans of a HR consulting company we developed and evaluated cashflow at risk models.

Diffusion of toxides

For a governmental organization we modelled the diffusion and drift of toxids from agricultural surfaces and the concetration of active substances in riverine water bodies. The model was implemented in a production system.

Transaction rating of repo trades

For an investment bank we developed a transaction rating for repo trades. The rating includes the calculation of collateral value, the conception of margin requirements, liquidation of collateral in tranches and the pricing of the trades.

Exposure of derivative portfolios

For an investment bank we delveloped risk engines for the exposure calculation of derivative portfolios.

Scoring of retail clients

For a private bank we developed a scoring of retail customers based on payment, static and trade data.

From the scores, default probabilities are estimated and provisions calculated.

Single deal value at risk

For a central bank we developed single deal value at risk models for derivatives.

Credit portfolio analysis

We evaluated the credit portfolio model of a foreign bank. Country risk was integrated into the portfolio assessment and a time efficient analysis software was implemented.

IT / Information Security

For an international chemical company we implemented an IT/IS-risk management process, we designed an analysis of the IT-protection requirement and did a compliance assessment.

Market study rating software

For a publishing company we devised and performed a market study and analysis of rating software for corporations. The study is available upon request.

Risk management and energy trading

For a multinational corporation we launced an integrated risk management process in the energy trading.

Valuation of basket credit derivatives

For the team of an international investor we devised a portfolio model and the respective analysis software for the valuation of basket credit derivatives.

Efficiency payment scheme

For a manufacturing company we designed an efficiency payment scheme and an incentive compatible premium calculation that allows to distribute a predefined budget in accordance with individual performance.

Benchmarking for a rating agency

For a large rating agency we conceived a methodology to estimate firm individual default probabilities for non-public SMEs based on its vast database.

In order to do quantitative comparisons and sectoral analyses, we devised and implemented a credit portfolio model that allows to do risk analyses in an economic scale.

Real estate portfolio management

For one of the largest European real estate investors, we developed a methodology for the quantitative analysis and management of the risks of real estate portfolios. The concept comprised the integration of all relevant risk factors from leasers, objects, regions, countries over the market movements up to desaster risks and the adequate modelling of dependencies.

The calculations enable the investor to do risk, return and cost analyses for the portfolio components on different levels of aggregation and time horizons and to assess the impact of the individual risk factors.