Advanced financial modeling _ risk management services

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Advanced financial modeling _ risk management services Powered By Docstoc
					Advanced financial
   modeling & risk

1. Two key benefits from partnership with us
2. Financial modeling tools in Excel (VBA)
      2.1. Credit modeling tools
      2.2. Basel
      2.3. Market modeling tools
      2.4. Other modeling tools
3. Information sharing and consulting services
1. Two key benefits from partnership with us
1. Cost efficiency
   - Software license costs
       – all tools are compatible with standard office pack
   - Labor costs
       – opportunity to save time and resources on development «from a scratch»

2. Competence
   - Our experience counts both western best practices and knowledge of
     local peculiarities
   - Special value to our development is added by our close ties with
     recognized risk research centers from Russia and England
2. Financial modeling tools in Excel
1. Credit risk modeling tools

1.1. Module Scorecards building

•    Generalized scorecards
•    Ad hoc scorecards
                   - Consumer loans
                   - Mortgage
                   - Credit cards

 1.2. Module Underwriting calculator

 Decision-making loan calculator in Access for calculating the line of credit for
 borrower with further distribution of notification for approval via Outlook server
1.3. Module Statistical modeling of defaults
•    Logistic regression model built from history of defaults
•    Calculation of statistics (std. error, t-statistics, p-value, pseudo-R2 etc.)
•    Calculation of default probabilities
•    Comparison of models by the power of prediction

1.4. Module Structural modeling of defaults
Scholes-Merton model built from company’s balance sheet data («debt/share»

1.5. Module Predicting credit rating migration

Predicting transition matrices and default rates with regression models
1.6. Module Prediction of loss given defaults
Regression LGD model built from average losses, default rates and solvency

1.7. Module Credit VaR
Measuring portfolio credit risk with asset value approach, studying the probability
of exceeding given threshold of losses for given time horizon

1.8. Module Validation of rating systems
Calculation   of   cumulative    accuracy    profiles   and     receiver   operating
characteristics (CAP and ROC-curves), calibration of models
1.9. Module Validation of credit portfolio models
Berkowitz test and testing loss distribution

1.10. Module Pricing Credit Default Swaps (CDS)
Calculation of term structure of defaults and pricing CDS

1.11. Module Pricing Collaterized Debt Obligations (CDO)
Structuring and pricing CDO tranches for large homogeneous portfolios
2. Basel

2.1. Module Basel II and Internal Ratings

Calculation of capital adequacy from loan default probabilities, LGD and maturity
3. Market risk modeling tools

3.1. Module VaR calculators
•   Simulation method approach
•   Model building approach with weight assignment

3.2. Module Pricing calculators for derivatives
•   Equity, FX, Index and Futures options (american, european, asian, barrier,
    compound etc.)
•   Bond options
•   Swap- and caps- options

3.3. Module Volatility calculator
Auto-regression time series analysys (GARCH model)
4. Other modeling tools
4.1. Module IFRS financial-investment projection templates

Calculation of Weighted Average Cost of Capital (WACC), Company’s
Enterprise Value (EV) and other financial key indicators

4.2. Module Net Flow Rates provision calculator
3. Information sharing and consulting services

1. Financial modeling trainings

2. Best practices in writing financial policies
3. Consulting on IT solutions and automation