Pricing and P&L Calculation

• Independent validation of an inflation swap pricing and booking tool suite in the context of a liability-driven investment (LDI) management services project of a large asset manager
  
  
• Extension of a trading system to incorporate a term structure model (Hull-White) for the valuation and risk quantification of Bermuda options. A calibration tool was developed and implemented allowing automated, daily pricing
   
• Implementation of Murex for FX-trade: Specification, programing and testing of interfaces for: the reconciliation of the trade data with the booking system, market parameters (fixings), counterparty data (from the booking system), Greeks and migration; system parametrization (currencies, instruments,term structures, ...); definition and implementation of customized reports; definition of processes, trade acquisition rules etc.; determination and implementation of the user concept, portfolio concept, migration concept, year-end evaluation, ensuring consistency between P/L and accounting; in particular MX Equity+ / Equity Derivates: Product mapping and valuation in particular MX Currency+ / FX Derivates: Validation and acceptance of the valuation of FX spot and forward trades, futures and future options, plain vanillas, barriers, digitals, and Asian options; construction of volatility surfaces, conventions
   
• Analysis, categorization and risk evaluation of a large public bank's complex asset swap book. Creation of logging rules and adaptation of the trading system for risk adequate position management
   
• Benchmark re-evaluation of the interest rate derivatives portfolio of a large German bank
   
• Restructuring P&L for a middle-sized German Bank: Stripping into component products, synthetic refinancing
   
• Implementation of a consistent, firm-wide procedure for calculating economic performance for market risk controlling and profit center computation: standardizing computation of risk controlling and profit center evaluation results; conceptual development of a firm-wide, value-oriented performance (economic P&L); analyzing the assessment of trading results in the trading systems Front Arena (Equities and Bonds), Summit (Interest rate derivatives), MUREX (FX options) and Dealex/D-3 (money markets and foreign exchange); analysis of the performance computations with regard to compliance with MaH (trade independence etc.); evaluation of the pricing methodology used in the trading systems; specifying changes in the P&L calculations (in particular, correct year-distancing and refinancing); monitoring the technical implementation; development and implementaion of ACCESS-tolls for daily performance reports; testing the implementation; analysis and documentation of the P&L calculation in foreign branches (through questionaires and visits to London, Hong Kong and New York)
   
• Disposition of loans with short term capital tie-ups of a uniform, bank-wide P&L calculation
   
• Comparison of the derivatives portfolios held by the Trading and Accounting departments at a large German investment bank
   
• Comparison of the booking of exotic interest rate derivatives in Summit with those of accounting for a large German bank
   
• Conducting courses in the fields of derivatives and risk management on both an elementary and advance level at a large German specialized bank
   
• Audit of the Profit and Loss calculation in view of deviations between updated monthly and yearly P&L
   
• Model validation and independent derivatives valuation for risk controlling for a large German bank. This included :Independent price verification for FX, FX-Derivates, correlation baskets, model verification of an equity trading system and in-house library; support for model approval for new products; development of pricing models for complex products; development of term structure models (BDT,BGM)
   
• Conducted numerous seminars and courses on the subject of derivatives pricing, the quantification of risk, and risk management. These were organized both in-house as well as through established seminar and conference organizers
   
• Independent valuation of exotic equity derivatives using a pricing library for a large German Landesbank
   
• Supporting a large German Landesbank in monitoring trade; establishment and implementation of a P&L Concept
   
• Benchmark re-evaluation of the interest rate derivatives portfolio of a large German bank