At multiple banking clients, our Interim Professionals have been heavily involved in engineering datasets from over 30 different data sources, varying from data warehouses to MS Access databases. The main aim of these datasets was to provide proper data for credit, interest, and liquidity risk modelling purposes and data requests from the ECB during TRIM exercises.
Our professionals have carried out the pricing activities for new disability and pension products for one of our international insurance clients. This included development of the business case, economic capital calculations and the determination of actuarial and commercial rates for different product categories.
For a medium-sized retail and corporate bank, Mploy Associates has played an important role in the sourcing of all balance sheet items to the risk management system. The main aim of this exercise was to generate the complete contractual and behavioral cash flow calendars on a daily basis for ALM and Treasury management.
For one of our main banking clients, one of our Young Talents has been involved in improving the tax administration of the international entities of the bank. Strong stakeholder management was needed to create an overview of the laws, regulations, and the relevant taxes per country.
For a medium-sized bank, one of our YT Quant Modellers has been involved in the development of Loss-Given-Loss models and transition matrices for their retail portfolios. After solving successfully several data-related and statistical challenges, the models have been approved by the Model Validation department and supervisor ECB.
For the execution and automation of Solvency II calculations, our professionals have developed a user-friendly and intuitive web-based application for an international life insurer. In addition to simplifying the prescribed calculations, the application also generates the required reporting templates.
Our professionals have been requested to participate and lead the validation of several equity, interest rate volatility, disability and mortality economic capital methodologies at a large insurance group. Furthermore, we have been involved in the audit of a technical provision and economic capital calculation process including mortality swap hedges.
As a result of regulatory requirements for granular loan data, our Young Talents in the Finance Expert track have been heavenly involved in the automation of financial reporting processes for AnaCredit and FinRep. Main goal: accurate representation of the loan portfolios in the prescribed reporting formats.
For a large asset manager, a team of Interim Professionals has been responsible for the implementation of an in-house developed risk engine for VaR calculations, economic capital, and other risk metrics for >80% of the asset types on a daily basis. Strong project management and financial modelling techniques have been used to successfully accomplish this project within 6 months.
To determine optimal reinsurance layers, interim professionals of Mploy Associates developed and implemented an application for one of our clients in the insurance industry to obtain insights in profits and losses during stress situations.
A junior consultant in our Talent Program has been responsible for the accurate implementation of interest rate risk and liquidity models in the ALM calculation engine QRM at one of our clients. As a result of dedicated quantitative and technical problem-solving activities, the application is producing the required reports covering more than 80% of the bank’s balance sheet.
To assure accurate provisioning for non-life and disability insurance portfolios, one of our Interim Professionals has been responsible for modelling, calculation and reporting of these technical provisions. Furthermore, several modelling and calculation steps in ResQ, R, and Python have been revised to further enhance the monthly and annual reporting processes.
At one of our larger clients, several Young Talents have been involved in the sourcing, wrangling, and analysis of historical client and product data for credit risk modelling purposes. Using a combination of Hadoop, SAS, and Python, compliancy to the definition of default, data lineage, and TRIM requirements were the challenges during these projects.
To obtain real-time insights in non-FRM issues, two of our Young Talents have been involved in sourcing the relevant operational and compliance data to SAS Vya, Power BI, and other BI tooling. Main aim: to provide accurate management information for steering and regulatory purposes. Solution: relevant dashboards with real-time insights and KPIs, available for all relevant parties.
As, due to choices in the past, data used for risk modelling and reporting purposes diverged from data used for financial reporting purposes, one of our tier bank clients has initiated a bank-wide alignment program to converge these data streams in the future. Our Young Talents did assist in identifying critical data sources, formatting activities, and lineage issues.