Due to the increased pressures from the regulatory environment and the market growing volatility, since the financial crisis, it has become essential for banks to enhance the consistency of valuation models and reinforce their validation processes in order to set up a robust framework for managing all the risks they are exposed to.
We tailor our offerings to the needs of our clients to help them solve problems or pursue opportunities in many areas including:
Financial instrument valuation
Using our expertise, our in-house tool and market data supplied by external providers, we can:
- perform independent pricing of your financial instruments for all existing financial markets (interest rate, credit, FX, inflation, equities, commodities, hybrids etc.) and all types of instruments (from plain vanilla to exotics and complex structures);
- Support and advice you in your model choice (adequacy, limits, validity domain etc.), calibration (calibration algorithm, market data etc.), numerical method (consistency, stability) and produce the adapted documentation;
- Validate and review your valuation methodologies and tools.
Risk assessment and management
The 2008 financial crisis showed the low resiliency of banks and other financial institutions to a rapid deterioration of the whole economy. In order to address this high sensitivity to economic stress, the regulatory and accounting frameworks have been enforcing guidelines that are increasingly restrictive, detailed and complex.
Mazars quantitative team has been supporting a wide range of banking institutions and regulators in implementing adapted, precise and compliant solutions over the past years. This covers regulatory requirements or projects (FRTB, IRRBB) as well as accounting standards requirements (IAS 39, IFRS 9, IFRS 13).
Internal model assessment
As both the banking industry mechanisms and the regulatory framework become increasingly complex, bank institutions have to continuously improve their models. Mazars can help you to deal with the new challenges involves by the increasing quantitative complexity. In practice, we can:
- Challenge your model;
- Optimize your model governance thanks to our benchmark capacity;
- Enhance robustness and flexibility of your internal models;
- Improve your risk management framework.
State-of-the-art tools and data providers ensure our work quality
All market data used by Mazars quantitative team are supplied by providers external to our clients to ensure the data accuracy and the consistency. A permanent access to market data is necessary to guarantee our valuation and model review quality:
- Bloomberg® is used by Mazars in order to access market information. Bloomberg is a well-known external provider of market data, ensuring our independence and thus guaranteeing the quality of our valuations and audit of internal models.
- Price-It® and Numerix® use a “plug and play” technology that offers extensive flexibility (pay-off description, pricing, calibration and numerical methods). They allow a reliable and independent comparison of the valuations obtained via the library with those obtained from large investment banks.
- Internal tools: tailor-made tools have been developed by Mazars quantitative team insofar as a notable share our time is dedicated to research and development. These tools are necessary to deal with complex valuations and risk measures that need individual and specific approaches
For more information about our capabilities, please contact us.
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In July 2014, the International Accounting Standards Board (IASB) issued the final version of its new standard for Financial Instruments, IFRS 9. Subsequently in September 2014, the Hong Kong Institute of Certified Public Accountants also issued the same standard, HKFRS9 (2014) Financial instruments, so as to maintain convergence with IFRS.