Häner Consulting

Model and System Development

The Client's Requirements

A global Japanese bank decided to apply for IMM waiver under Basel II in order to reduce the regulatory capital. They didn't have an IMM compliant Counterparty Credit Risk system in place and hence needed to build one.

Our Solution

As the global head of Counterparty Credit Risk Analytics, Patrick Häner built team of quants, software engineers and business analysts, which created an IMM compliant system from scratch.

The Client's Benefits

The costs of building the system was a fraction of regulatory capital it helped saving.

The Client's Requirements

The client, a global South African bank, who used Sungard Adaptive Analytics, a third party credit exposure system, needed to build a IMM compliant back-testing system.

Our Solution

Using C# and IronPython and the R language we built a system, which created synthetic portfolios, calculated exposures and produced automated back-testing reports.

The Client's Benefits

The client met the back-testing requirements under IMM.