Quantitative solutions

Due to the increased pressures from the regulatory environment, the emergence of new risks and the evolution of market practices it has become essential to enhance the consistency of valuation models and reinforce their validation processes; set up a robust framework for managing risk and establish a reliable risk environment to enable easier and consistent risk management decisions; and adapt models and methods to evolving regulatory requirements.

Mazars is fully committed to delivering quantitative expertise to our clients through tailored solutions.

Our services

We work in partnership with our clients to provide a complete quantitative range of services, tailoring our approach to meet specific needs and delivering real value across a variety of industries (financial services, corporates, public sector, etc). Our range of services includes:

Valuation

  • Performing independent pricing of financial instruments for all existing financial markets (interest rate, credit, FX, inflation, equities, commodities, hybrids, etc.) and types of instruments (from plain vanilla to exotics and complex structures)
  • Providing structured support in choosing appropriate valuation methodologies: model choice, calibration, numerical method

Validation

  • Supporting you in the validation of valuation and risk management models: theoretical validation of the model (adequacy, limits, validity domain…), implementation (accuracy, robustness, limits…), calibration (calibration algorithm, market data…), numerical method (consistency, stability), documentation and governance

Risk assessment and management

  • Advice in relation to models used to measure financial risks (market risk, credit risk, liquidity risk etc.)
  • Validating and improving the quality of your reporting tools
  • Taking on some or all of your statistical and econometrical studies

Debt measurement and requirements for other accounting purposes

  • Effective interest rate computations
  • Debt restructuring, financial impact regarding debt renegotiation and public exchange offer
  • Developing tool to calculate expected losses and simulate expected losses boundary (12-month expected credit losses / Lifetime expected credit losses) under IFRS 9

Hedge accounting assessment

  • Hedge accounting assessment: reviewing the effectiveness of hedge accounting, rationalisation of ineffective hedge accounting

We use state of the art pricing tools to support your decision making.

  • Price-It® and Numerix® use a “plug and play” technology that offers extensive flexibility (pay-off description, pricing, calibration and numerical methods). They allow a reliable and independent comparison of the valuations obtained via the library with those obtained from large investment banks.
  • Bloomberg
  • Internal tools: tailor-made tools to deal with complex valuations and risk measures

Our international team

Our quantitative team is composed of experts from top financial engineering schools, as well as market finance specialists with postgraduate degrees. They have extensive knowledge in the banking industry and financial markets and are heavily involved in helping regulators, central banks and governments navigate through the complex challenges currently facing our economy.

All team members have proven hands-on experience in valuing financial instruments in complex and sophisticated environments and reviewing risk measurement and control processes.

Our experts are accustomed to working in multi-cultural, international environments offering bespoke solutions adapted to local issues in Europe.

Interested in finding out more? Please don’t hesitate to contact us.

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