LPA combines a singular quantitative and regulatory competence with extensive knowledge of the capital markets business. With Risk and Quant Consulting from LPA you make your company fit for current and future regulatory requirements and secure your earnings power in customer business.
With Basel III, further specifications are being introduced for derivatives and, in particular, a new standard approach for counterparty risk (SA-CCR). Our advisors will develop with your strategies on how to adjust your capital markets business promptly and securely in order to meet the new requirements. The increase in collateralised or cleared derivative business has a direct influence on the profitability of the customer business. With intelligent solution approaches we cater for an optimal implementation of the new requirements, with special attention to your business model.
Setting up the value-oriented derivatives business securely
Our advice is based on a value-oriented derivative business which takes into consideration the corresponding regulatory specifications and comprises, among other elements:
- Evaluation and pre-calculation for (structured) derivatives
- Modern price models for derivatives: xVA Pricing (CVA, DVA, FVA, KVA, MVA & ColVA)
- Restructuring of CSA contracts
- Model selection and validation
- Bilateral collateralisation
- The standardised method to measure counterparty risks with SA-CCR
- CVA Risk Capital Charge
- Fundamental review of the trading book
- The interest risk in the banking book
Individual analysis supported by the LPA’s own pricing library
Our LPA pricing library (LAPalc) is available for structuring and analysis of your financial instruments. LPACalc supports you in independent model validations and individual analyses. It is also used for the evaluation approaches listed above. LPACalc contains extensive market data, but can also be linked with in-house systems and data sources.
For many years now we have been assisting banks, savings and other financial institutions in analysis and adjustment for product structuring (product management), treasury, trade, risk management and risk controlling. The growing requirements with regard to banking and capital markets regulation make our know-how more valuable than ever. Let us generate long-term added value jointly by developing comprehensive and bespoke solutions and so minimise the effects of regulatory changes.