Set-up of a collateral management system

We accompany a mortgage bank in the setup of a collateral management system. The data requirements for different collaterals were defined taking into account the relationship between customer, account and collateral. (Ongoing project)

Strategic implications of the Basel II requirements

We support a mortgage bank in the evaluation of necessary changes of the product portfolio, in the valuation of new products regarding new regulatory requirements as well as the evaluation of the convergence of Basel II and IFRS and different quality improvements in regulatory reporting. (Ongoing project)

QIS 5

We assisted a mortgage bank in the implementation of the fifth Quantitative Impact Study (QIS 5).

Implementation of the reporting software ABACUS/DaVinci

We accompanied the subsidiary of a large foreign bank during the implementation of ABACUS/DaVinci. Review of the documentations.

Basel II-calculation kernel

We specified the calculation kernel to fulfil German Basel II requirements. Included were - among other things - the details regarding segmentation of exposures, Standardised Approach, Internal Ratings-Based Approach and credit risk mitigation. The data requirements were defined.

Set-up a rating agency

We supported a German financial services provider in the documentation of the mathematical methods for the selection of financial ratios and the mathematical procedures for analysing annual financial statements. We defined the data requirements and assisted in selecting a data supplier.

Quality improvement in regulatory reporting

We assisted the subsidiary of a large foreign bank in optimising the implementation of the 6th amendment of the German banking act, connected the risk management system PANORAMA with the SAS data warehouse respectively the reporting software SAMBA and documented the used option pricing models for the supervisory authorities.

Outsourcing of Basel II-requirements

We realized a preliminary study regarding outsourcing of Basel II requirements for a financial services provider and compiled a detailed questionnaire regarding credit and operational risk. We made an enquiry of banks and federations.

Implementation of the 6th amendment of the banking act

We selected appropriate software for a savings and loan association to fulfil the German Capital Adequacy Directive (CAD) especially the valuation of securities and derivatives. Provided a model portfolio for a fictitious savings bank and evaluated the relevant products according to the German CAD. We analysed the relevant data requirements for the reporting software SAMBA and transformed CAD requirements (two leg approach) into an Excel solution.

Implementation of the German CAD

We assisted a central savings bank in the development of a manual for the consideration of market risk in compliance with the German CAD.

Annual audit and the 6th amendment of the banking act

Review of the German CAD calculations of credit institutions in cooperation with auditors.