Finance

The unstable world economy and the constant evolution of regulatory framework in the financial industry force companies to optimize and secure their results, and to quantify and control risks linked to financial and physical assets portfolios.

Portfolio valuation, risk management policy definition, risk assessment and control are core issues for financial activities. In order to bring optimal and efficient solutions to these complex business issues, decision support and analysis tools may provide valuable insight, especially when it comes to processing large amounts of data.

Modeling & decision support expertise

The know-how and the expertise of Artelys in the design of operational solutions, based on technologies of modeling and decision support, prove useful and effective to address different types of problems:

• Financial products valuation: calibration of interest rates models, pricing of swing contracts or take-or-pay options

• Portfolio selection: optimal close out of positions under tax constraints, fund of funds design

• Pricing policy: yield management, market prices models, quotations coupling mechanism between Exchanges

• Matching assets and liabilities: stochastic modelling, design of management strategies

• Design and computation of risk measures: Value-at-Risk type indicators, stress-testing calculations

Artelys also offers consulting services in Risk Management.

Thanks to its experience, gained through numerous projects in the financial industry, on cash or derivatives security markets and in energy markets, Artelys offers operational solutions to meet final users’ needs.

Operational tools

Artelys solutions are based on accurate, robust and reliable numerical tools to quickly and efficiently design and develop optimal solutions for its customers.

Software platform used for the financial industry are notably:

Artelys EVA

Extreme Value Analysis

Artelys Forecast

Forecasting and statistical analysis

Artelys Risk Manager

Assets valuation and risk management

Artelys has participated in many projects in the financial sector, here are some achievements:

Modeling and statistical analysis of extreme market moves for guarantee funds calculations

• Modeling of very large deviations of the major European equity indices
• Using and comparing different techniques of the Extreme Value Theory (EVT)
• Development of software tools for such studies: Artelys EVA

Expertise for the margining of exchange-traded energy contracts

• Upgrade and enhanced reliability of margin calculations for all traded instruments
• Addition of functionalities to anticipate cash requirements and capital consumption
• Industrialized processes to include new exchanges or products

Consulting for the alignment of risk management between clearing houses

• Review and comparison of the respective risk management policies and procedures
• Recommendations for aligned organization striking a balance between stakes and costs
• Writing of shared specifications for the implementation of an off-the-shelf risk engine

Design of the risk framework for clearing credit default swaps (CDS)

• Design of financial coverage: mark-to-market, regular margins (Value-at-Risk type), guarantee funds contributions (stress-testing), specific charge for protection seller (jump-to-default)
• Specifications for the pricing of CDS
• Statistical models of market moves to set margins and stress-tests levels

Software for the calibration and simulation of forward prices of energy indices

• Extra specifications for price models and calibration/simulation algorithms
• Design of object architecture (descriptive framework for contracts, price history, models, etc.)
• Training sessions for end-users and IT development teams

Software and consulting for risk measures in energy markets

• Extra specifications for price and volatility models
• Design of object architecture (descriptive framework for physical and financial assets, etc.)
• Design of interfaces and general ergonomics

Forum & resources