intellixx offers a wide spectrum of services to the financial markets sector predominantly in the procedural, quantitative or regulatory domains. At intellixx , we use our extensive financial market experience to provide services tailor-made to our clients' needs. These services include:
Quantitative Finance Implementation and Optimisation of Trading Strategies Risk Management Implementation and maintenance of banking supervisory requirements: Clearing, MaH, MaK / MaRisk, Basel II, Principle I etc.
We have specialised project experience in the following trading, risk and treasury systems:
Calypso Murex Misys (now Finastra) SUNGARD: OPUS, Front-Arena, Credient, Panorama (now FIS)
Intellixx has been played an integral part in various large client projects, some of which are elaborated on below.
Here is a selection of our customer projects:
Evaluation, Implementation and Integration of financials products (derivatives):
Validation and Implementation of Pricing models. Evaluation of customised pricing methods. Use of our in-house library (operational component) ifs.pricing Wide product coverage of OTC derivatives and structured products.
Implementing risk management approaches (market & credit). Optimisation of portfolios and specific commercial decisions using our inhouse Operational Components - ifs.sbo (Bond Portfolio optimization). Development and integration of rating systems. Merger & Acquisitions and other restructuring measures. Integration, migration and interfacing. Production support and application management (1 - 3 Level). System health checks and performance tuning. Complete integration of credit derivatives (CDS, CDO, CLN, Baskets) to a front - and back-office system. Automatic migration of interest derivatives between trading systems (OPUS-OPUS, Front Arena-OPUS). Automatic reporting and client notifications (IAS). Realtime connection: Implementation of real-time transmission of trades to a risk management system. Product extension in a front office system: credit derivatives, exotic options, structured products, internal trades. Integration and implementation of new product processes (NPP).
Front Office Client Projects
Profit & Loss Project extract:
Extension, enrichment and integration of customer-specific market data. Conceptualisation and implementation of applications for data migration of profit and loss reports. Data migration for finance and reporting applications from Power Plus Pro (MS-Excel with Reuters-connection to access Reuters-functions) to Applix. Extension of front office data for net financial P&L.
Financial Planning Client Projects
Implementation, valuation and maintenance of financial products (futures, options on futures, warrants (each related to currencies or commodities), credit derivatives (TRS, linear GCLS, FtD-GCLS, tranche basket-GCLS), exotic interest derivatives, Bermuda swaptions, multiply cancellable swaps, window barrier FX-options, lookback asset swaps, warrants on swap rates, capped loans, cancellable loans) respecting the so-called “Grundsatz I” (German legal requirements) to an in-house simulation-based risk analysis system for a large regional bank:
Current system analysis & evaluation. Business and IT conceptual architecture development. Extension of the pricing engine and the risk kernel.
Risk Management Client Projects
Extension of an in-house simulation-based risk analysis system of a large regional bank:
Implementation and integration of new stress testing scenarios for Hull-White-volatilities. Extension and adjustment of backtesting methods (clean backtesting) of an in-house simulation-based risk analysis system of a large regional bank. Ensuring implementations maintain legal requirements for risk analysis systems (German BaFin-Requirements). Preparation of the acceptance of the model by internal auditing and regulatory authorities. Integration of the financial products: FX-options, repos, USD swap notes, and fed fund futures to a risk management system, real-time interface to kondor++ via TIBCO-middleware (platform: Solaris, WebObjects, Sybase, Java). Market risk management system: performance optimisation of the valuation library SimCorp. Continuous system support involving error analysis and error corrections of an in-house simulation-based risk analysis system of a large regional bank. Design and implementation of automated portfolio reconciliation and risk management systems.
Back-Office Client Projects
Grundsatz I (German legal requirements):
Comparisons of PV-results, stress testing results and VaR-values for different products (linear GCLS, FtD-GCL, tranche basket GCLS, Quanto swaps, CMS caps, forward contracts on assets, options on futures and warrants (both for currencies and commodities), swap rate warrant, exotic interest derivatives, capped cancellable loans, options on assets with dividends (Asian, Bermudian, Quanto, barrier), Comb shares, window-barrier-options. Matching of stress testing results, VaR-values and sensitivities at bank-level using MS-Excel and MS SQL Server. Implementation and verification of:
new functions analysing covariances and betas. new functions for backtesting. new functions using UBS currency-pair volatility matrices. Interpolation methods for implicit volatilities of stock options.
Client Study and Research Projects
intellixx has facilitated specialised industry research and white paper generation for several clients:
Study on the optimisation and extension of a risk management system by an interest structure model (Hull-White) for valuation and risk quantification of Bermuda options and multiple cancellable swaps. Study on the improvement of a hedge fund model for maturities and VaR results of an in-house simulation-based risk analysis system of a large regional bank. Development of new functional and IT concepts for data migration of trade types; functional concept for the product types swap, swaption, and cap from between trading systems. Study on the verification of the P&L of a front office system.
Mergers and Acquisition Involvements
intellixx has played a critical part in facilitating restructuring processes of complex trading systems during mergers and acquisitions.
Evaluation of the goals and the related staff costs of the development and implementation of data migration processes enabling the seamless integration of the business processes through to the IT systems. intellixx will contribute experience in the areas of quantitative analysis and financial engineering, extensive industry knowledge, and substantial expertise in the field.Leading financial institutions have benefitted from our services within merger, acquisition and restructuring processes.
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