Results for ‘Modelling’
Blockchain & DeFi
Blockchain has the potential to transform treasury and financial transactions. Now the race is on to make it happen. With our help, you can join the trailblazers in Decentralized Finance (DeFi).
Read moreManaged services
What happens when your cash manager is unexpectedly absent? Or you need niche technical or functional expertise to get a TMS up and running? Zanders gives you access to the support you need when you need it most.
Read moreBy Need – Risk
Read moreVaR Backtesting in Turbulent Market Conditions: Enhancing the Historical Simulation Model with Volatility Scaling
Challenges with VaR models in a turbulent market With recent periods of market stress, including COVID-19 and the Russia-Ukraine conflict, banks are finding their VaR models under strain. A failure to adhere to VaR backtesting requirements can lead to pressure on balance sheets through higher capital requirements and interventions from…
Read moreCorporates
Corporates with clarity and control of risk and liquidity are in a stronger position if a problem strikes. We work with you to build this resilience into your balance sheet.
Read moreBy Role
Read moreRating model calibration methodology
During the development of these models an important step is the calibration of the parameters to ensure a good model performance. In order to maintain these models a regular re-calibration is performed. For our Credit Rating models we strive to rely on a quantitative calibration approach that is combined and…
Read moreReplicating investment portfolios: a quantitative analysis
A replicating investment portfolio is a collection of fixed income investments based on an investment strategy that aims to reflect the typical interest rate maturity of the savings deposits (also referred to as ‘non-maturing deposits’). The investment strategy is formulated so that the margin between the portfolio return and the…
Read moreThe ECB’s thematic review on climate risks and the focus areas for 2023
The European Central Bank (ECB) recently completed another important step in the supervisory process to assess the management of climate-related and environmental (C&E) risks by European banks. On 2 November, they published the results of their thematic review on C&E risks performed earlier this year. This review1 followed the initial…
Read moreSoftware
Read moreTo Hedge or Not to Hedge: Navigating the Catch-22 of FRTB’s PLA Test
Profit and loss attribution (PLA) is a critical component of FRTB’s internal models approach (IMA), ensuring alignment between Front Office (FO) and Risk models. The consequences of a PLA test failure can be severe, with desks forced to use the more punitive standardised approach (SA), resulting in a considerable increase…
Read moreSAP treasury reporting for the treasury executive
Over recent years, SAP has added an array of products in the data warehousing, reporting and analytics space to assist decision-making as well as address some of the historical weaknesses in its reporting capabilities. These more recent SAP tools focus on delivering key business drivers in the reporting space –…
Read moreA roadmap to becoming a data-driven organization
Developing a data strategy depends on using the various types of payment, market, cashflow, bank and risk data available to a treasury, and then considering the time implications of past historical data, present and future models, to better inform decision-making. We provide a roadmap and ‘how to’ guide to becoming…
Read moreClimate Change Risk Management for insurers.
Climate change risks are relatively newly identified risks that insurers are facing. These risks can negatively impact both assets and liabilities of insurers. Already in 2018, the European Commission requested the European Insurance and Occupational Pensions Authority (EIOPA) to investigate how climate change risk could be integrated into the Solvency…
Read moreTargeted Review of Internal Models (TRIM): Review of observations and findings for Traded Risk
The EBA has recently published the findings and observations from their TRIM on-site inspections. A significant number of deficiencies were identified and are required to be remediated by institutions in a timely fashion. Since the Global Financial Crisis 2007-09, concerns have been raised regarding the complexity and variability of the…
Read moreNavigating Structural Shifts: ING Experts Discuss Deposit Modeling in a Low-Interest Landscape
The low interest rate environment has faced banks with structural changes in customer behavior and converging products such as savings and current accounts. ING, one of Europe’s largest players in the savings market and a long-term client of Zanders, has positioned itself as one of the frontrunners in this environment.…
Read moreMortgage valuation, a discounted cash flow method
The most common valuation method for mortgage funds is known as the ‘fair value’ method, consisting of two building blocks: the cash flows and a discount curve. The first prerequisite to apply the fair value method is to determine future cash flows, based on the contractual components and behavioral modelling.…
Read moreReplicating investment portfolios
A replicating investment portfolio is a collection of fixed-income investments based on an investment strategy that aims to reflect the typical interest rate maturity of the savings deposits (also referred to as ‘non-maturing deposits’). The investment strategy is formulated so that the margin between the portfolio return and the savings…
Read moreWACC: Practical Guide for Strategic Decision- Making – Part 5
Treasury, as the custodian of risk management, could reinforce its role as an internal consultant on cash flow and help management prepare and substantiate decisions in allocating limited resources within the company. In business, success and failure are never far apart. Among the many different options available, management has to…
Read more