Representative Case Industry - Treasury and Risks
Capital markets risk calculation service
Do you want to know more about our solutions?
The approach
We provide risk factor simulation, trade valuation and risk metrics calculation services based on our Szena solution.
What we did?
➔ Integration of our SaaS solution into the customer’s infrastructure
➔ Definition and implementation of market data simulation models (historical, Monte Carlo, etc.)
➔ Definition of the pricing engine capable of valuing instruments adapting to the peculiarities of the sector (storage costs, transport, etc.)
➔ Operation of solutions to provide data validation services, metrics and reports generated
➔ Provide our client with specialised services
- Compliance with regulatory requirements supported by Nfq Regulatory CoE
- Advanced quantitative services for the implementation, development or validation of models
- Contrast/Benchmarking of instrument valuations
Results
➔ Comprehensive service that guarantees the management of risks associated with the area of capital markets
➔ Our client focuses on information management rather than operations
➔ Ensuring compliance with regulatory impacts with industry insight (Advice + Solution development)
➔ Adaptation of market best practices, in the field of management metrics (ES, Lambda VaR…) and valuation adjustments (xVA…)
