Finance & Risk

Finance & Risk

Together with our customers we have prepared the implementation of various solutions for Market Risk. These implemented solutions include the consideration of a standardized approach as well as the utilization of internal models – from the historical simulation method to the Monte Carlo approach. The solution architectures have ranged from integrated complete systems to mutually coordinated systems within the Treasury and Risk system landscape.

From the beginning we support our customers in quantitative topics such as CVA and FRTB, as well as with the implementation of requirements and issues around the overall bank management. Regulatory requirements are, in this climate, often the initial impetus, but also provide possibilities for comprehensive improvements of the existing data and process architecture, and therefore the future-orientated adjustment of the dispositive system landscape. We examine the challenges jointly with you, and advise you of the possible solutions.

In order to comply with modern accounting requirements, for example IFRS, we have with many customers implemented large and stable sub-ledger systems and connected to Back Office systems as well as to SAP (general ledger). We also support the statutory and quantitative challenges as well as the complications regarding handling very large data volumes.

In major projects we support from project setup through to implementation and test until final roll out. In the process we are therefore involved in the conception and the parameterization of the current systems, as well as becoming familiar with the development of the required individual components. We have comprehensive experience in the conception and implementation of valuation and market data models, and also in the illustration and connection of data from internal or external sources. We are familiar with the challenges and solution approaches to deal with large data volumes and computationally-intensive requirements.

We have been supporting our customers for nearly twenty years in the areas of risk, treasury and accounting, as well as with the introduction of trading and settlement systems. From our daily work we are familiar not only with the common trading, settlement, market and master data systems along with their data models and interfaces, but also the difficulties and possibilities of the business areas around risk management and finance. We have at our disposal an excellent understanding of traded financial products, including the evaluation and accounting approaches for all other required data and models. In addition, we are also very familiar from numerous projects with the regulatory requirements and reporting obligations in the capital market environment.


Our Austrian client has carried out several projects as part of a program to completely and timely meet the regulated requirements regarding market risk. Various modules (Calypso, Asset Control, SunGard and Active Pivot) from diverse producers have been introduced and the replacement of the old system KVaR, a group wide, cross-asset class VaR calculation has been implemented. A special challenge was to enforce a cross-border, uniform solution in the timeframe given from the regulator and to manage the strong dependencies of other projects within the program. Firstwaters was supportive in the following roles Project Manager, Stream Lead, Solution Architect, Business und Quantitative Analyst.

The "Markets Invest Banking Accounting Solution" program of an international Banking Group implemented a central group wide subledger platform. On the product side this includes Interest Rate Derivatives, Credit Derivatives, FX Derivatives, FX, Money Market and Securities for the locations Munich, Milan, London, Singapore and New York. For this purpose, a solution based on Calypso was implemented, because the client was already using the software as a back-office platform. Alongside the centralization / harmonization of the heterogeneous subledger system landscape (ATLAS, NOSTRO, MIDAS etc.) it was also possible to cover missing functionalities within the program, which was imposed on the bank by an associated audit report.