Quantitative Solutions

Due to increased pressures from the regulatory environment and growing market volatility since the financial crisis, it's essential banks enhance the consistency of valuation models and reinforce their validation processes to set up a robust framework for managing all the risks.

With a local Irish quantitative team and access to a network of international quantitative groups that include experienced actuaries, quantitative analysts and statisticians; Mazars can help you with financial instrument valuations, risk management and internal model assessments.

Financial instrument valuation

The valuation of financial instruments calls for an in-depth knowledge of financial markets and an understanding of specific risks. Using their expertise and the customized tools that have been developed by Mazars, our team members have a rigorous and systemic approach when pricing your financial instruments which include:

  • Selection of relevant market data;
  • Identification of the inherent risk drivers for each instrument and selection of:
    • The adapted pricing model
    • The best calibration instruments based on their liquidity and relevance
    • The appropriate numerical method
  • Implementation of independent valuation models; and
  • Review of the potential valuation gaps via a step by step approach that leads to a precise understanding of the causes.

Therefore, we can:

  • Perform independent pricing of your financial instruments for all existing financial markets (interest rate, credit, FX, inflation, equities, commodities, hybrids etc.) and all types of instruments (from plain vanilla to exotics and complex structures);
  • Support and advise you in your model choice (adequacy, limits, validity domain etc.), calibration (calibration algorithm, market data etc.), numerical method (consistency, stability) and produce the adapted documentation; and
  • Validate and review your valuation methodologies and tools.

State-of-the-art tools and data providers ensure our work quality

All market data used by Mazars Quantitative teams are supplied by providers external to our clients to ensure the data accuracy and consistency. Permanent access to market data is necessary to guarantee our valuation and model review quality. Mazars use external tools to access market information and market dates, ensuring our independence and thus guaranteeing the quality of our valuations and audit of internal models.

Mazars' internal tools which are tailor-made tools that have been developed by Mazars Quantitative team insofar as a notable share of our time is dedicated to research and development. These tools are necessary to deal with complex valuations and risk measures that need individual and specific approaches.

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.

Banking Advisory and Assurance - Risk Management

International and Irish regulators have increased their focus on quantitative risk management since the financial crisis. As a result, this introduces several opportunities and complex, interrelated risks. It's now more critical than ever for organisations of all sizes to obtain the best possible advice and benefits from robust risk management.

Our dedicated quantitative risk management experts and quantitative analysis team offer a client-focused strategy to help banks to implement robust risk management frameworks that meet regulators' expectations, satisfy compliance requirements and contribute to intelligent risk decisions making.

Our experience and tailored approach help banks to effectively identify and mitigate critical risks, determine a strategic road map for risk management and make informed business decisions to facilitate business growth.

Mazars can help in the following key areas:

  • Credit risk
  • Market risk
  • Capital adequacy
  • Solutions to incoming regulatory changes
  • Quantitative evaluation and risk modelling
  • Asset quality review and stress testing
  • Development of risk policies and procedures

For more information on how we can help, please contact:

Name

Title

Email

Phone

Cian Higgins

Head of Quantitative Solutions

chiggins@mazars.ie

+353 (0)1 421 1264

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