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Consulting Services in Financial Controls


Expertise:

  • - Product Control: Economic P&L
  • - ALM Management and Transfer prices
  • - Financial Calculus
  • - Risk control, VAR and ES
  • - Accounting and Economic P&L reconciliation
  • - Project Finance Modelling with Excel
  • - Investissement selection
  • - Treasury and Cash management
  • - Solvency 2 and SCR
  • - Big Data: factorial methods with R and Excel
  • * Principal Componant Analysis
  • * Correspondance Analysis
  • * Multiple Correspondance Analysis
  • * Linear Discriminant Analysis
  • * Canonical Analysis

      • ECONOMIC P&L: this P&L is measured on a portfolio for a specific period of time. It has 3 main components: the realized, the unrealized and the funding cost. Sometimes we add as well the FX component, mainly of accounting reconciliation purposes. In fact, both P&L, ├ęconomic and accounting are defined very differently which makes reconciliations very difficult to achieve. For that, it is important to have a repository data base whose main data are prices or valuations of assets and cash flows. With a proper tool, it becomes possible to produce the economic P&L and to simulate the accounting P&L.


      • FX POSITION VALIDATION this is a major issue for financial institutions, because the concept of FX position is mainly an accounting features. The reconciliation is clear for the spot desk, but it becomes very difficult for any financial assets with FX risk component or simply denominated in a foreign currency. The process of validation must go back to the origin of the deals and identify the initial FX risk, its hedge and how this evolved since then. Even worse, when positions are closed or matured, the identification of the remaining FX P&L is quite often very difficult to isolate.

      • P&L attribution: this tries to give objective causes to P&L, either in positive or negative cases. This is done while comparing risk taken on a period with the market movements on the same period. The identification of risk factors is then very important to identify the sources of revenues: it can be a huge market position or a huge market variations. In case of options, market factors must be extended to greeks. This requires expertise in P&L, accounting and risk management. The differences are not only with closing prices, but can come from the definition of portfolio, and as well from errors.


Examples of assistance:

  • Middle Office Database implementation and P&L reporting tools.
  • Simulation and reconciliation of FX positions.
  • P&L Reporting in currency with accounting simulations and reconciliations.
  • Hypothetical P&L, Value At Risk measures and reconciliations.
  • Detailed pricing of structured products and follow up of risk factors.