Finalyse can offer you a comprehensive range of services in these Financial Markets Hot Topics:
Pricing and Front Office Implementation
Trading, treasury and investment activities represent the profit centre interface of every financial institution. This interface must be as smooth and reliable as possible to ensure that strategies are successful.
Finalyse has many years of experience of translating the requirements of front-office operators into systems that effectively support them. Our experts have developed expertise in Front Office functionalities (pricing, position keeping, sensitivities analysis, hedging, etc.) and in the solutions that are available on the market, from Financial toolkits (FEA, Numerix, Fincad,etc.) to global applications (Kondor+, Summit, Sophis, etc.). Using our knowledge of the Financial Markets and of the various possible software solutions, whether in the form of packages or internal development, we pride ourselves in delivering the systems our client needs.
Finalyse's consultants have expertise in the pricing/valuation of a very wide range of investment and trading/ hedging instruments. Our knowledge covers money market- (e.g. from call accounts to repos), capital market- (e.g. from simple bonds to ABS structures), and derivative- (e.g. from vanilla stock options to right to oil-indexed gas swing contracts) instruments. For the latter, we master the various pricing methods, from analytical solutions to tree-based algorithms and Monte Carlo Simulation. Furthermore, we have developed considerable expertise in the algorithms and tools necessary to value "one off" complex structured products such as increasingly sophisticated retail investment products and structured finance packages.
Market Risk Model Validation
Finalyse is convinced that regulatory compliance must be viewed within the context of a wider enterprise-wide economic value management infrastructure. Model validation can be considered an important building block of the infrastructure. Finalyse has the practical experience of analysing, designing and implementing the tools its clients need not only to comply with the regulatory and reporting requirements but to create a competitive advantage as well.
These in-house skills allow Finalyse to effectively assess the models from both a qualitative and quantitative perspective. Finalyse has developed a market risk model validation framework and guide that allows and efficient and effective validation of the clients market risk models. Finalyse's role is to assess the reliability of the model, the development environment and the model outcome. It can function as an external validator and endorse that banks models meet at least the regulatory requirements, to benchmark the modelling techniques against the market best practice standards, and to demonstrate reasonable statistical performance. The model validation takes place within the boundaries of the bank's particular business model and respects the bank's risk governance, rating systems, and modelling choices and standards.
Trading and investment in global markets is the source of a continuous day-to-day challenge for middle officers and accountants. The explosion in the variety of instruments and their associated risks requires flexible financial control systems which must ensure that the profitability of every activity remains under full control.
As a specialist, Finalyse is involved in projects whose objective it is to calculate the performance of the trading, investment and hedging activities, through the production of daily P&L, itself explained according to the various market factors sensitivities.
Our IFRS specialists have developed expertise in the hedge accounting principles (under IAS39) and have proposed creative solutions for the calculation and documentation of hedge effectiveness.
EMIR Impact Assessment
The European Market Infrastructure Regulation (EMIR) is a set of specific rules that address the OTC Derivatives market. This regulation came into force on 16th August 2012, but actual application to market participants actually began in February 2014.
Finalyse can provide you support in becoming EMIR compliant by assessing the impact of EMIR on your organisation, whether you are a Financial Counterparty (FC) or a Non-Financial Counterparty (NFC), above or below threshold. A typical assessment would have the following structure:
Performing a pre-study to assess the current position of your organisation with regards to the regulatory changes instigated by EMIR and a proposal of the necessary steps to comply with the new regulation.
A multi-disciplinary team of experienced consultants will work with your organisation in order to:
- Interview and meet the stakeholders
- Analyse existing documents (e.g. CSA documents) and resources
To ensure efficiency, the initial step of the project will outline the expectations from your organisation.
This can include:
- A confirmation of the main objectives, scope and deliverables of the project
- A list of the musts, risks and issues
- A summary of EMIR regulation constraints for your organisation
- A summary of the major findings of the pre-study (impact on your policies, processes and IT)
- A synthesis of all the requirements expressed by the different stakeholders
- A project brief including a high level planning (the way forward)
- An inventory of the identified risks and issues to take into account
Finalyse can also provide you with an EMIR Reporting Solution towards Trade Repositories which can be easily implemented on site or externalised towards Finalyse (Third Party).
The Markets in Financial Instruments (MiFID)
The Markets in Financial Instruments Directive (MiFID) and the trend towards a unified European capital markets industry is progressively changing the way market participants trade on or off exchange. Always ready to help its clients addressing new European regulations, Finalyse welcomes the directive as a new challenge to develop additional expertise and put it at the disposal of our clients. We are developing a pragmatic approach, focused on key issues such as the storage of market quotes, and the analysis of transaction costs as well as the Best Execution measurement.
The upcoming MiFID II / MiFIR resulted from an extensive consultation in the wake of the financial crisis: the goal remains the same, but additions are made to the original Directive to:
- Establish a safer, sounder, more transparent and responsible financial system
- Increase integration, efficiency and competition within the EU financial market, thus reducing costs to participants
- Create a single rule market in Europe, with a level playing field for states and participants
- Improve supervision and transparency on regulated and OTC markets (G20 commitment). Efficient valuation is a key component of such transparency.
Finalyse offers a transparent and independent valuation and risk management service for derivatives and structured products in order for you to comply to all these changes in the legal environment.
For more information, go to the following topics:
Regulatory and Economic Capital
Financial institutions that are actively developing on the financial markets are looking for diversification and optimisation of the use of their capital.
Hence the need for advanced risk management applications that are flexible enough and can be adapted easily to new risk factors and instruments. Furthermore, new risk measurement methods, taking into account the tail distributions and non-linearities of many instruments, must be permanently scrutinized.
Combining the experience and the skills of our consultants together with advanced technology, Finalyse provides modern, creative and open risk solutions for its clients.
Energy Trading and Market Risk Application
The liberalisation and subsequent increased price volatility of energy markets have led many of our clients to develop new trading and/or hedging activities, themselves requiring the development of a new energy risk management framework, sometimes completely integrated within global market risk management systems.
For many years, thanks to its partnership with FEA, Finalyse has been a pioneer in the analysis and development of tailor-made energy pricing and risk systems.
In partnership with FEA and/or independently, you can benefit* from a wide range of specialized valuation, trading and risk management expertise, such as:
- Modelling of your asset prices
- Portfolio valuation of your physical assets (such as wind farm, power generation) or financial assets (long term delivery contracts)
- Trade / hedging strategies that match your risk appetite
- Market / Credit Risk scoring and reporting
* Our consultants previously worked at top-tier institutions (Belfius, Credit Suisse, GDF, Lampiris, Morgan Stanley, Van Lanschot) and dealt with a wide asset range (FX, real estate, energy, etc.).