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:

  1. NumeriX OIS valuation – Special financial services provider
  2. Summit OIS valuation – Mortgage Bank
  3. Implementation of a model validation – State Bank
  4. Implementation IFRS 9 – Special financial services provider
  5. 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