Trading Systems: Front-, Middle and Back-Office

• Independent validation of an inflation swap pricing and booking tool suite in the context of a liability-driven investment (LDI) management services project of a large asset manager
  
  
• Implementation of bond trading in Front Arena, including a EUREX interface and the WM-database of Intalus (formerly Systemsoft) for a middle-sized German bank
   
• Treasury system selection for a specialized German financial institution. The selection process involved: compilation of a data-requirement catalogue, establishment of a market overview, organization of the system producers' presentations, and quantitative analysis based on the degree of required coverage, the producer's presentations and the evaluation of the operating department
   
• Implementation of a comprehensive trading and risk management system for the Treasury department of a specialized financial institution. This included: Conceptual design, coverage of all financial products, integration into the existing IT-landscape, automated confirmation of market consistency, MIS with balance simulation and risk reporting, balance simulation, documentation
   
• Implementation of bond trading in Front Arena for a middle-sized German bank
   
• Building positions, risk controlling, limit checking, and performance evaluation of a strategic bank portfolio in Front Arena; Implementation of the trading system Front Arena by Front Capital Systems for the position building, risk controlling, limit checks and evaluating the performance and disposition of a strategic portfolio. The portfolio is characterized by it's broad product coverage, high trading volumes, a high degree of market risk combined with a low trading frequency. The project consisted of: constructing a concept of user-rights in Front Arena in compliance with the MaH, mapping of all products and verification of the valuation and risk computation in Front Arena, migration of the trade data to Front Arena, development of additional software for computing Variance-Covariance VaR and the delta-plus method for measuring non-linear option risks, evaluating performance, daily historization, the support of the disposition on the portfolio level, performing back and stress testing and establishing an interest rate sensitivity gap, carrying out a study of the VaR calculation by means of Monte Carlo simulations for the entire bank, studying how loans are mapped to be utilized in Front Arena, mapping and valuation of emerging market bonds, development of additional software to carry out the end of year evaluation in Front Arena
   
• Implementation of a risk measurment methodology for market price risks (VaR, Stress testing) for a special portfolio within the trading system of a large German bank. Conducted a study considering the architecture of various solutions for the utilization of the results
   
• Conceptional design of an internet brokerage system for institutional customers based on OMN/Softbroker Software by Front Capital System, establishing a test concept on the basis of which the tests were conducted
   
• Disposition of loans with short term capital tie-ups of a uniform, bank-wide P&L calculation
   
• Implementation of a transaction-oriented, real-time transmission of trades to a central, integrated risk-controlling system (market and default risk ). This involved: the evaluation of the XML-data model and specification of the mapping from the XML onto the user-interface (Summit); comparison of the data requirements with the Front Office (Summit); Automation of the FO-Adapter-Tests
   
• Supporting a large German investment bank in implementing the 6th KWG amendment with regard to the supplying trade data to the global trade data pool
   
• Monitoring the transaction-oriented FO interfaces (Summit exotics and Murex equity options) for the central data warehouse for trades: specification and testing several releases; establishing the data warehouse as the foundation for reporting and risk control
   
• Process analysis of interest rate derivatives in Summit as well as compiling potential improvements to ensure a correct flow of information to accounting
   
• Implementation of a trading and risk management system for the Trading and Treasury departments of a specialized financial institution including the expansion of trading and the Euro-conversion: transmission of all trade and treasury deals in the interest rate and foreign exchange departments into the new system; definition of the organizational procedures involved in derivatives trading under the application of the new system for the front office, back office, risk management, portfolio management, booking and trading controlling, etc; from and including the conceptual technical development via the precise computation of all risk parameters and Greeks up to and including the implementation of all interfaces: implementation of the entire 6th Amendment of the KWG, including the delivery of the reporting software from all effected areas of the bank. Advice with the extension of trading activities to include interest trading; definition of tradable contracts and new products; creation of requirements for the trading and reporting systems so that the trading in particular product groups can be included, such as amortizing swaps, basis swaps, cross currency swaps, caps, floors, collars, reverse floaters, bond options, step-up bonds, swaptions, Repo trades; extension of the corresponding application concepts, as well as the specification of the interfaces to the reporting department and it's implementation through the appropriate database queries developed for this purpose; definition of assignment distribution with the expansion of trading activity; development of a concept for the Euro conversion of trade portfolios in the trading system;adapting the corresponding software routines and reports to be Euro compatible; testing the database conversion scripts provided by the software provider: conceptual development for the application of these scripts in daily production; adaptation of the parametrization of the trading system.
   
• Implementation of the bond and equity trading in Front Arena for front and back offices as well as for the risk management department for a large German specialised bank
   
• Preliminary study for the implementation of a securities trading system for the back-office of a German specialized bank; potential systems under consideration were TMS2000 and Front Arena
   
• Implementation of Repo trading in Front Arena
   
• Check-up of a completed project involving the implementation of the trading system Front Arena developed by Front Capital Systems. Implemented for all equity trading at a large German bank with a primary focus on the system parametrization and the essential aspects particular to the banks products and mass trades (aggregation of trade data), interdependencies between the system parametrization and interface design, and project management and planning
   
• Support in ensuring the successful live implementation of Front Arena
   
• Implementation of the trading system Front Arena for equity trading for a large German bank, including the transmission of positions in proprietory trading in the trading department to the market-risk controlling and booking systems. This involved: replacing the previously used system Optas; validation of the processes relevant to booking and defining the system mapping; contributing to the interface design of the event-triggered booking interface; conceptual design, implementation and live-realization of the batch-interface to risk controlling; replacement of daily, automatically driven reports of the previous systems Optas and Strada (conceptual development, implementation and live-realization); generation of a P&L application for risk controlling and for the year-end evaluation in Front Arena; testing the functionality of the PRIME clients; supporting project management in planning as well as in the preparation stages in the decision making process
   
• Specification, realization and testing of a Hedge-Accounting Supplement in accordance with IAS 39/FAS133 specifications for the ALM System of the Deutsche Bank 24
   
• Selection of an integrated trading and treasury system for a morgage bank
   
• Implementation of Front Arena (FCS) as a trading and risk management system with particular emphasis given to complex interest rate derivatives for a German morgage bank
   
• Many introductory and advanced workshops for Front Arena
   
• Extension of a trading system to incorporate a term structure model (Hull-White) for the valuation and risk quantification of Bermuda options. A calibration tool was developed and implemented allowing automated, daily pricing
   
• Implementation of OMNI and Front Arena as trading and sales systems for equity trading; this included implementing the interfaces to the XETRA and EUREX
   
• Replacement of STRADA with Front Arena in the area of fixed income sales and trading for a German Landesbank
   
• Implementation of Murex for FX-trade: Specification, programing and testing of interfaces for: the reconciliation of the trade data with the booking system, market parameters (fixings), counterparty data (from the booking system), Greeks and migration; system parametrization (currencies, instruments,term structures, ...); definition and implementation of customized reports; definition of processes, trade acquisition rules etc.; determination and implementation of the user concept, portfolio concept, migration concept, year-end evaluation, ensuring consistency between P/L and accounting; in particular MX Equity+ / Equity Derivates: Product mapping and valuation in particular MX Currency+ / FX Derivates: Validation and acceptance of the valuation of FX spot and forward trades, futures and future options, plain vanillas, barriers, digitals, and Asian options; construction of volatility surfaces, conventions
   
• Analysis, categorization and risk evaluation of a large public bank's complex asset swap book. Creation of logging rules and adaptation of the trading system for risk adequate position management
   
• Conceptual design and implementation of an internal model for the measurement and control of market risks in compliance with the requirements of Principle I. Determination of appropriate procedures. Implementation of Value-at-Risk (Delta-Gamma method), stress testing and clean back testing in the bank's risk management system. Integration into the MIS of the bank. Extension of the modelto calculate specific equity and interest rate risks. Preparation for the approval of the internal model by the auditing department and supervisory authorities
   
• Selection of a treasury system for a leading German industrial corporate company
   
• Supporting a large German Landesbank in monitoring trade; establishment and implementation of a P&L Concept
   
• Analysis of the correct and adequate supply of trading data to the accounting department of a middle-sized German bank
   
• Selection of a banking system for a German bank providing universal and specialized services: the compilation of data requirements in credit and private customer services (a modern system for the acquisition of bank products in the area of assets and liabilities, in compliance with MAK and Basel II), payment transactions, accounting and controlling, specification of a data-requirement catalogue, establishing a market overview, organizing and conducting presentations for the system producer, and quantitative analysis based on the degree of coverage of the requirements, the producer's presentations and the evaluation of the operating department
   
• Implementation of a trading and risk management system for securities for a large German bank
   
• Implementation of a trading and risk management system for securities and credit derivatives for a large German bank
   
• Specification of a valuation-reference library and subsequent implementation of pricing models for all traded instruments for a large German bank
   
• Specification and implementation of an integrated trading system for spread and credit derivatives trading for a large German bank
   
• Testing and validation of a trading system for equity derivatives for a large German bank
   
• Implementation of various trading and risk management systems for interest rate derivatives for several German banks
   
• System selection of trading, risk management and treasury systems