Center of Excellence “ALM, PM & QF” aims at compiling extended scope knowledges and expertise for proposing robust and tailor-made solutions in different areas of Quantitative Finance and Portfolio Management and different sectors such as Insurance, Bank, Pension Funds, Asset Management and Energy trading.
- Development of ALM models computing advanced indicators designed for financial reporting, evolved dashboards and business decision support (including market & biometric risks, ALM interactions, clients behavior, management actions, regulations)
- Design of Capital Management solutions (e.g. securitization, hedging, diagnostic, compliance with regulations)
- Development of Valuation tools for financial instruments and derivatives (multiple pricing methods (including simulation-based stochastic models), Greeks & sensitivities)
- Development of ‘Real World’ tools & solutions for Portfolio Management, Trading and Active Risk Management (simulation-based stochastic models, stress tests, time series used for SAA, KRI’s &KPI’s dashboards)