Financial Modelling

External requirements for up to date risk management are continuously increasing for all market participants. In the banking sector MaRisk (BA) regulations are constantly getting stricter. For insurance companies, the introduction of Own Risk Solvency Assessment (ORSA) is presenting tightened requirements. Modelling risk concentrations and stress testting have thus become as important as continuous risk monitoring.

Caplantic supports its customers in dealing with the resulting modelling challenges, no matter if it concerns existing trading or investment accounts, or brand-new transactions. Caplantic offers individualised modelling approaches for each problem concerning investment valuation and/or risk management of a position to assist its customers in effectively characterising their positions. Varying methods of price and risk modelling have similarly been developed.

Caplantic currently offers the following know-how for these illiquid asset classes:

  • Development of individualised portfolio risk models with either risk neutral or risky (e.g. ratings based) calibration including:
    • Enhancement of default-only models;
    • Development and risk neutral parameterisation of asset value models;
    • Use of closed-form and simulation based portfolio modelling;
    • Combination of pricing models (Gauss Copula approaches and advances) and risk models (e.g. one-factor rating based models with rating migration) used for example for the enhancement of early warning systems;
    • Development of risk neutral, innovative pricing algorithms for (single) loans, e.g. in shipping or aviation finance;
    • Further individualised support for customers creating their own modelling environment;
    • Company and investment valuations;
    • Development of cash flow models for CLO and ABS structures (e.g. for ABCP Conduits).

Track Record

Risk modelling for a EUR 200m investment of the Hannover Funding Conduit in the multi layered auto leasing business.

Risk modelling on a GBP 80m investment of the Hannover Funding Conduit in an UK auto loan transaction.

Risk modelling on a EUR 150m investment of the Hannover Funding Conduit in the GMAC Star II European auto loan and leasing transaction.

Risk modelling on a EUR 50m investment of the Hannover Funding Conduit in the 1st Financial Credit Card Master Note Trust transaction.

Expert Opinion

Caplantic manages a large multi-asset portfolio for us. In addition to reporting and Workout monitoring, their services include simulations of all relevant risks with the help of multivariate portfolio models. In our opinion, Caplantic does an excellent job. They are simply a great team.

Richard Robb
CEO Christofferson, Robb and Company & Professor of Professional Practice at Columbia University's School of International & Public Affairs

Contact Financial Modelling

Konstantin Müller

konstantin.mueller@caplantic.com

+49 (0) 511 9999 3112

Caplantic`s Financial Modelling building blocks
  • Individual modelling of transaction and portfolio risks
  • Portfolio models currently in use have been validated by reputable auditors
  • All models include rigorous documentation
  • Models can be used for the customer’s risk management as part of Solvency II, ORSA and CRA III requirements