Company Structureand Services. Prague, 2015

Transcription

1 Company Structureand Services Prague, 2015

2 Content 1. Introducing the Company 2. Services Provided 3. Key People 4. References Quantitative Consulting s.r.o

3 Introducing the Company Electronic media watch rate measurements, marketing research, software development. Specialized credit risk consulting division of MEDIARESEARCH, a.s., established in 2002 and transformed into Quantitative Consulting at the end of Specialized advisory company operating independently since Banking projects Risk management Consulting Data mining SW solutions Quantitative Consulting s.r.o

4 Services Provided Credit Risk Scoring models Application and behavioral scoring (Advanced) model development and validation Reject Inference approaches Cut-off setting using Cost of Error weighting Basel II Economic Capital PD, LGD and EAD models methodology Time series analysis with economic downturn assessment Methods dealing with incomplete observations (LGD) PIT x TTC rating (variable scalar approach) Advanced methodology for LGD modeling Cost allocation +Dat implied Discount rate determination Modeling techniques for partial Recovery rate observations Downturn portfolio LGD Quantitative Consulting s.r.o

5 Services Provided Market and Operational Risk Value at Risk Models Parametric and nonparametric VaR and CVaR models Advanced (e.g. GARCH) correlation and volatility estimations EVT (Extreme value theory) VaR implementation Valuation of derivatives Valuation and risk quantification of portfolios of plain vanilla forwards, options, or swaps Advanced stochastic modeling and exotic derivatives valuation Basel II Implementation and Capital optimization Basel II market and operational risk capital calculation Standardized or VaR based approach Stress Testing and Economic Capital Allocation Quantitative Consulting s.r.o

6 Services Provided Financial and Investment Consulting Optimal Portfolio Allocation Expected return versus risk optimization Algorithmic trading strategies analysis, design, and implementation Bayesian approach to asset allocation Performance Measurement and Risk Reporting Definition of key performance indicators, benchmarks, and risk measures Implementation of automatic reporting systems and monitoring processes Cash Flow Optimization Proposal of optimal cash flow structure, financing, and financial asset management Analysis and hedging of balance sheet foreign exchange, interest rate, and liquidity risks Quantitative Consulting s.r.o

7 Services Provided Development of Software Applications Credit Rating System(CRA System) (Web based) Application for storing and management of financial statements Supported by database structure Process of client level rating assignment, definition of user roles (analyst, client manager) Recovery Management System (RMA System) Definition of particular recovery processes Storage of realized actions on account, direct and indirect costs Support of recovery process analysis and optimization Data export for LGD modeling Tailor made software We offer software development on demand and our own software products. We have very competent team with extensive know-how in the area of software applications development and software solutions development Quantitative Consulting s.r.o

8 Key People Quantitative Consulting s.r.o

9 Partners doc. RNDr. Jiří Witzany Ph.D. Leading Partner Faculty of Mathematics and Physics, Charles University Pennsylvania State University, Ph.D. in Mathematics Work experience Komerční banka a.s. modern market risk management system development (implementation of the dealing system Trema, the Middle Office function and Management Information System for financial markets trading) Director of The Credit Risk Management Division (scoring functions development, credit risk reporting and data management, implementation of Basel II, real estate valuation) Senior Consultant CRA Systém Since 2009 co-founder of Quantitative Consulting s.r.o. Lecturing Lecturer at Pennsylvania State University and University of California in Los Angeles in the past Associate Professor at Faculty of Mathematics and Physics at Charels University and at Faculty of Finance and Accounting of the University of Economics in Prague Guarantor of the Financial Engineering Master degree program Quantitative Consulting s.r.o

10 The Team of Analysts and Specialists Mgr. Jakub Černý Head of Analytical Team Mgr. Ing. Barbora Zuzáková, MSc Analyst Ing. Milan Fičura Analyst RNDr. Tomáš Hanzák, Ph.D. Senior analyst Graduate: MFF UK, Mathematics, Financial and Insurance Mathematics major Graduate: MFF UK, Mathematics, Financial and Insurance Mathematics major Graduate: Faculty of Finance and Accounting VŠE, Financial Engineering major Graduate: MFF UK, Mathematics, Econometrics major Postgraduate: studying MFF UK, Financial and Insurance Mathematics Vrije University Amsterdam, Stochastics and Financial Methematics major Postgraduate: studying Faculty of Finance and Accounting VŠE, Finance Postgraduate: MFF UK, Econometrics and Operational Research Work experiences Auditing of scoring SW system for calculation of Basel II capital adequacy of a financial conglomerate Scoring functions data preparation Financial engineering Stochastic modeling Financial derivative valuation Faculty of Finance and Accounting VŠE, Finance major Postgraduate: studying MFF UK, Econometrics and Financial Mathematics Work experience Developing and optimizing LGD models Work experiences Survival analysis models development and credit margin calculation projects Development of quantitative trading strategies. Work experiences Financial and statistical analyses Development of statistical models Participation in credit risk management projects, mainly focusing on consumer loans Monitoring quality of credit portfolio Quantitative Consulting s.r.o

11 The Team of Analysts and Specialists Bc. Filip Šimsa Junior Analyst Michal Levý Senior Software Architect and Developer Vladimír Řehoř Software Developer Bc. Tomáš Witzany Software Developer Work experience Work experiences Bachelor study: MFF UK, General Mathematics major Graduate: studying MFF UK, Econometrics major Work experiences Preparation of data processing Statistical evaluation head of IT development team in MEDIARESEACH a.s. Software architect and developer with 10+ years of experience in software development C#, APS.NET, Castle Windsor, NHibernate, ASP MVC, SOAP web services, MS SQL Server 2008, Ajax, Java Script, Ext.JS, XML Working in MEDIARESEARCH since 2007 C#, APS.NET, ASP MVC, T- SQL, Ajax, CSS, J-Query, Java Script Bachelor study: MFF UK, Informatics major Graduate: studying MFF UK, Informatics major Work experiences C#, SQL, js/ajax, xml, ASP.NET. JEE/Hibernate/Spring Quantitative Consulting s.r.o

12 References Leading Slovak bank Scoring functions for the SME segment Database and software system for online scoring for the SME and Small Business segments Leader in consumer loan market in CR, SR, Russia and other countries Scoring functions for consumer loans Credit methodology complex solution Credit risk monitoring, strategy, performance indicators Leading bank operating on Central and East European markets Methodology for LGD Basel II approach Basel II implementation support - PD, LGD, and CF estimation, calibration, and validation Leading Czech bank Complex audit of BASEL II methodology and documentation for ČNB Scoring and LGD models development, risk margin determination and calculation Leading Hungarianbank Complex audit of BASEL II STD approach, provisions calculation Training and advisory activities Lecturing in the areas of risk management, financial markets, and derivatives for the Faculty of Finance (VSE), Faculty of Mathematics (UK) Banking Institute, Institute for International Researcch, Marcus Evans, Euromoney, etc. Quantitative Consulting s.r.o

13 AStep Ahead Quantitave Consulting s.r.o. Address: Českobratrská 1, Praha 3 Tel.: Fax: info@quantitative.cz URL: Quantitative Consulting s.r.o