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CURRENT SOLUTIONS.

NEGATIVE RATES

In many cases pricing models do not allow or are not parameterised for implied negative rates. A changeover impacts the entire process chain from the P&L determination,
to the IPV and the internal risk model.

xVA Adjustments - CVA, FVA und KVA

The use of Credit Valuation Adjustments (CVA), Funding Valuation Adjustments (FVA) and Capital Valuation Adjustments (KVA) affect the economic and accounting P&L,
the internal risk model, and RWA calculations.

We support you in the:
  • Conceptual design of the CVA / DVA / FVA / CVA methodology and the economic, accounting and regulatory treatment
  • Model calibrations and derivation of default probabilities
  • IPV and totem processes for CVA / FVA
  • Impact analysis of current regulatory consultation papers and
    adjustments (e.g. FRTB-CVA, SACCR)
Example: A server-based prototype for the Standardised Approach used to measure Counterparty Credit Risk exposures (SACCR).

MULTI CURVES

We support customers in designing and implementing multi-curve frameworks:
  • OIS Discounting
  • The consideration of tenor basis spreads and CCS spreads
  • Consistent interest curve set-up in performance and risk models
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