Examples of our daily work

For a commercial bank, we designed several models to measure and manage exchange rate and interest rate risks for the entire bank portfolio. In order to compare the models in terms of their quantitative effects, they were implemented as prototypes. The most successful model for the bank's purposes was selected and implemented as a productive system.

We developed a model for analysing the risk of investment projects in large technical plants for a production company and made it available to decision-makers in a prototype implementation.

For a multinational company, we compared and evaluated hedging architectures of major risks under cost and security aspects. For this purpose, risk models were designed and prototypically implemented in order to make them accessible for quantitative analysis.

We designed and implemented a component for aggregating operational risks for a software group.

We developed and evaluated cash flow at risk models for sales planning and the analysis of business plans for a personnel service provider.

For a governmental institution, we developed and implemented a model to represent the diffusion and drift of toxins from agricultural land and their accumulation in water bodies.

We developed a transaction rating for financing transactions for an investment bank. Part of the rating is the determination of the collateral value of collateral portfolios, the design of margin requirements, the liquidation of collateral in tranches and the pricing of transactions.

We developed risk engines for an investment bank to calculate the exposure of derivative portfolios.

For a private bank, we developed and implemented a portfolio scoring for the retail business based on behavioural, customer master and business data.

Based on the score, probabilities of default are estimated and general and specific allowances are determined.

We have developed single deal value at risk models for derivatives for a central bank.

For a foreign bank, we evaluated the credit portfolio model, integrated country risks into the credit portfolio assessment and implemented a time-efficient analysis software.

For an international chemical company, we implemented an IT/IS risk management process, designed an IT protection needs analysis and carried out a compliance assessment.

We developed and conducted a market study and analysis of rating software for companies for a publishing house. The study is available here or from us on request.

We implemented an integrated risk management process in energy trading for a multinational company.

For the team of an international investor, we developed a portfolio model and corresponding analysis software for the valuation of basket credit derivatives.

For a manufacturing company with approx. 300 employees, we have developed a performance pay model and an incentive-compatible bonus calculation that allows a given bonus budget to be distributed according to performance.

For a large rating agency, we developed a methodology for calculating firm-specific default probabilities for unlisted small, medium-sized and large companies on the basis of their extensive data pool.

In order to perform comparative calculations and sectoral analyses, we designed and implemented a credit portfolio model that allows risk calculations and analyses to be performed for millions of firms on an economy-wide scale.

For one of the largest European real estate investors, we developed procedures for the quantitative analysis and management of portfolio risks of real estate portfolios. The concept included the integration of all relevant risk factors from tenants, properties, regions, countries and market development to catastrophe risks and the adequate representation of their correlations.

The modelling enables the yield, cost and risk calculation for the portfolio components at different aggregation levels and according to maturities and an analysis of the influence of the individual risk types.