financial risk fitness gmbh

Landsberger Straße 98 - D-80339 Munich
Phone +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
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