financial risk fitness gmbh
Landsberger Straße 98 - D-80339 MunichPhone +49 89 46139112 - www.financial-risk-fitness.com
A selective list of consulting activities/ capabilities:
- Design and Implementation of Customer Behavioral Models (Replicating Portfolios based on Stochastic Optimization Techniques) for Retail non-maturing Products (reference: large SE Asian Universal Banking Group-Group CRO)
- Establishment of Group Funds Transfer Pricing Policies and Strategic Organization of the Group´s Funding Center (reference: large SE Asian Universal Banking Group, - Group CEO & CFO)
- Optimization of the Interest Rate and Jet Fuel Hedge Portfolio for a global Cargo Company (reference: large global, Western European based Cargo Company – Group CEO & CFO)
- Annual Review and International Benchmarking Studies for European Structured Credit Investment Funds (in collaboration with the IVA - Institut für Vermögensaufbau – reference: CEO/President of two Germany based Mutual Funds)
- Advice to large European Media conglomerate on target risk-return profile and selection of best suited investment vehicles for the Corporate Employee Pension Plan (in collaboration with the IVA - Institut für Vermögensaufbau (reference: CFO)
In addition competencies include:
- Implementation of Basel III compliant Internal Credit Rating Models for commercial/ retail banking operations
- Pricing Libraries for Credit Derivatives and Structured Credit Products for Hedge funds and Commercial/Investment Banks
- Establishment of Performance Monitoring “Cockpits” for Asset Management Companies
- Development and Implementation of Basel III compliant Internal Market Risk Models for Banks and Institutional Investors
- Development and Implementation of Basel III compliant Internal Credit Risk Models for Banks and Institutional Investors
- Strategic Organization, Limit Framework and Methodological Toolkit for counterparty risk (CVA, DVA, FVA) for OTC traded Derivative Products
- Development and Implementation of a Funding Liquidity Monitoring System for large commercial and investment banks – as well as the establishment of a Liquidity Limit system congruent with the institutional risk appetite
- Development and Implementation of Basel III compliant capital allocation models
- Development, parameterization and validation of prepayment models for mortgages and other banking assets
- Development and validation of EBA compliant IRRBB (interest rate in the banking book) models