One of our distinctive strengths is the combination of Front and Middle Office know how and requirements understanding.
For the risk teams of various customers, we have performed:
Market curve modelling – how the forward curve will be captured in the system, what the valuation prices will look like, and where will they come from, handling of situations where the valuation price and the officially published market price are different (due to eg the need for a consistent snapshot across all markets for EOD market risk simulations)
Time series modelling and configuration for VaR inputs
Determining volatility granularity and volatility calculation, configuration of time series analysis, handling different types of volatilities (eg dollar or percentage)
VaR modelling in the ETRM System – parametric and Monte Carlo