Financial Services

Financial Services solutions are specifically designed to meet strategic & regulatory needs. Today’s market is experiencing increased competition, more regulation and rising volatility.  You need to optimize your capital allocation, lower your overall cost of capital, and improve or maintain your favorable credit rating.  You are also fighting to maintain regulatory compliance while increasing profits. You need analytic & reporting solutions that are rigorous enough to meet regulatory scrutiny, yet flexible enough to fit the unique requirements of your institution. Finance Solution Brochure

• Loan Portfolio Valuation
• Enterprise Risk Aggregation
• Regulatory Compliance
• Risk Modelling Framework
• Portfolio Optimization

Solutions are built in R, S+, TERR or Spotfire.

Loan Portfolio Valuation

Whether buying, holding or selling, analysts in commercial banks, loan originators and the secondary markets know that valuing a loan portfolio has never been easy. Institutions can be exposed to unnecessary risk or poor performance when they can not quickly assign accurate scores to individual loans as well as to entire portfolios of loans. In addition, the complexity of most valuation systems forces business people to wait for in-house expertise whenever an analysis requires even slight modification, causing costly delays in the decision-making process.

The Loan Portfolio Valuation Solution uses an easy-to-understand, self-documenting workflow to extend sophisticated portfolio analysis capabilities to less technical decision makers. Standardized deployment of loan valuation processes improves collaboration and quality of information, and avoids costly mistakes associated with using multiple spreadsheets or software programs. Your decision-makers will also quickly understand what's happening in the analysis and can easily tune the steps to fit their needs, streamlining the loan valuation and risk management process for improved efficiency and consistency across your organization. Loan Portfolio Valuation Datasheet

The Loan Portfolio Valuation Solution provides senior analysts & less technical decision-makers with essential capabilities for improving portfolio profits:

• Streamlined, self-documenting process is easy to explain, share and maintain
• Flexible & adaptable to fit your existing environment and grow with your changing needs
  
• Score even the largest portfolios at the individual account level for greater accuracy
  
• Create more profitable loan products by identifying drivers of portfolio cash flows and risks
  
• Empower decision-makers to perform their own analysis

Enterprise Risk Aggregation

Is your organization comprehensively managing risk?  Or like so many financial services institutions, are you struggling with isolated and or restricted views that create sub-optimal business investment decisions; driving up the cost of your capital and the overall exposure of your institution?  The Enterprise Risk Aggregation solution provides a statistically rigorous software framework that aggregates your correlated risk across business units, geographies and product types. You can move your team beyond just meeting economic capital requirements to leveraging a platform that facilitates true business decision support through an enterprise level view into your institution’s risk.

• Reduce variability in both quantitative and qualitative measures of performance
• Optimize your economic capital allocation
• Improve your capability to predict loss & return on enterprise risk
• Improve credit rating and lower your reputation risk
• Lower your overall cost of capital in the marketplace
• Risk Aggregation Banking Brochure

Click here for full image

The Enterprise Risk Aggregation solution can help your organization to protect shareholder value through a more efficient & cost-effective use of capital while maintaining a sufficient cushion against unexpected losses. 

Regulatory Compliance

Solvency II: More than just meeting the requirements laid down by Solvency II, organizations can benefit from sound process oriented capital management practices.  Achieving compliance can lead to better credit ratings, increased shareholder value and improved business metrics such as:

• Volatility of P&L
• Volatility of Earnings
• RAROC™
• RORAC

Our regulatory compliance solution for Solvency II provides a rigorous statistical framework of software & consulting services that allows you to model all material risks, quantify them, derive the correlations across multiple lines of businesses, and implement both advanced internal models and the prescriptive standard formula to determine solvency levels.  Basel II brochure

• Calibration test results
• Statistical test results
  • Backtesting
  • Stress testing, and
  • Model validation
• Identify & model all risk mitigation structures
• Capital Requirement calculations based upon aggregated risk distributions
• Internal Model-Based Capital Requirements vs. Standard Model comparison and reporting
• SCR (using both the Standard Formula and through the use of Internal Models), and MCR

Risk Modelling

Risk arises from uncertainties surrounding your business operations and environment. Not understanding these uncertainties can result in unexpected losses to your firm & others in your value-chain. How you measure uncertainty and account for it within your operations impacts new product development and pricing, the calculation of capital allocation, and can directly influence institutional performance in volatile markets with unexpected external events.

The Risk Management Framework is a software & services solution that will provide you with a rigorous modeling framework & state of the art models for credit risk, market risk & operational risk measurement & calculation. With the modeling framework, in place, your institution can:

• Avoid losses from unexpected credit quality deterioration
• Deliver more effective hedging against market fluctuations
• Improve the alignment of your capital allocation with your institution’s true, economic risk
• Improve your RAROC and RORAC ratings
• Increase your net interest margin

Protect your organization from unnecessary risk, while working to ensure the risks you take positively impact profit and shareholder value. Leverage your existing risk management infrastructure, reduce the possibility of operational disruption, safeguard against insolvency & lower your overall cost of capital.

• Provides a scalable risk modeling platform that facilitates collaboration, what-if scenario testing, and allows you to test out hypotheses around loss distributions
• Provides the ability to fit data to distributions and/or create simulated data
• Provides a robust framework to back-test your models, and stress them with realistic and extreme scenarios

Portfolio Optimisation

Streamline portfolio construction, optimization, and backtesting functions, while delivering superior risk-adjusted returns on either client portfolios or internal treasury portfolios. A  statistically rigorous software framework to optimize a financial portfolio, using techniques ranging from the classic mean-variance approach to more complex objective functions involving logarithmic returns and coherent risk measures such as expected shortfall.

• Achieve competitive advantage by seamlessly integrating portfolio construction, testing, optimization & reporting workflow
• Rapidly prototype and test out portfolio models
• Handle large number of asset types
• Free up quants from redundant tasks - such as re-running analysis with a different date range, different set of inputs – to develop new models, develop trading strategies, and more value-added tasks
• Replace spreadsheets with a workflow solution that is scalable and allows collaboration
• Flexibly and rapidly implement multiple models using different risk-return objectives
• Advanced optimization techniques, a scalable statistical & financial function library that let’s you analyze & study time-series data, backtest your portfolios & generate a variety of performance reports.
• Effective Portfolio Optimization Application Note
• S+NuOPT Technical Note: Applying Mixed Integer Programming (MIP) to Portfolio Optimization Problems Using S+NuOPT