{"id":58597,"date":"2022-01-25T11:59:23","date_gmt":"2022-01-25T10:59:23","guid":{"rendered":"https:\/\/rivacon.com\/?p=58597"},"modified":"2024-11-28T16:09:39","modified_gmt":"2024-11-28T15:09:39","slug":"advancement-internal-model","status":"publish","type":"post","link":"https:\/\/rivacon.com\/en\/references\/asset-manager\/advancement-internal-model\/","title":{"rendered":"Advancement Internal Model"},"content":{"rendered":"\n

<\/path><\/svg><\/span>Initial Situation<\/span><\/h2>\n\n\n\n

A large German asset manager uses vendor software in combination with self-developed extensions based on Excel VBA to measure market risk figures (especially scenario values, P&L, VaR, etc.) in the Solvency II context. New business requirements and release cycles require regular upgrades of the system.<\/p>\n\n\n\n

<\/path><\/path><\/path><\/path><\/path><\/g><\/path><\/path><\/path><\/path><\/g><\/path><\/path><\/path><\/path><\/g><\/path><\/path><\/path><\/path><\/g><\/svg><\/span>Project Scope<\/span><\/h2>\n\n\n\n
    \n
  • Preparation of pre-study for Dynamic Volatility Adjustment (DVA).
    • Calculation of yield curve adjustments for each market risk scenario.<\/li><\/ul>\n
        \n
      • Design of new yield curve stacking in the market risk system.<\/li>\n<\/ul>\n<\/li>\n\n\n\n
      • Implementation of Smith-Wilson extrapolation in the market risk system.<\/li>\n\n\n\n
      • Optimisation of the efficiency and quality of the plausibility process by automating process steps.<\/li>\n<\/ul>\n\n\n\n

        <\/path> <\/path> <\/svg><\/span>Our Contribution<\/span><\/h2>\n\n\n\n
          \n
        • Developing a prototype for calculating the DVA using Smith-Wilson extrapolation.<\/li>\n\n\n\n
        • Validating the results of the DVA prototype.<\/li>\n\n\n\n
        • Further developing the overall architecture of market risk measurement.
          • Designing and implementing an R-based application to reflect the plausibility check of market data used in risk measurement.<\/li><\/ul>\n
              \n
            • Optimising existing tools used for plausibility checks of the market risk figures.<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n\n\n\n

              <\/path><\/path><\/path><\/path><\/path><\/path><\/path><\/path><\/svg><\/span>Customer Benefit<\/span><\/h2>\n\n\n\n

              By improving the tools for plausibility checks of the market risk calculation, the need for manual interventions<\/strong> could be significantly reduced<\/strong>. The prototypical implementation of the DVA calculation and Smith-Wilson extrapolation proved<\/strong> the feasibility<\/strong> and allowed a reliable effort estimation<\/strong> for the productive implementation.<\/p>\n\n\n\n

              <\/path><\/svg><\/span>Relevant Skills\/Tools<\/span><\/h2>\n\n\n\n
                \n
              • Transact\/HANA SQL<\/li>\n\n\n\n
              • R, in particular Shiny Apps<\/li>\n\n\n\n
              • Simcorp Dimension<\/li>\n\n\n\n
              • Azure DevOps<\/li>\n\n\n\n
              • Excel VBA<\/li>\n<\/ul>\n","protected":false},"excerpt":{"rendered":"

                Pre-study for Dynamic Volatility Adjustment (DVA) using a Smith-Wilson extrapolation in market risk measurement.<\/p>\n","protected":false},"author":3,"featured_media":82347,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_seopress_titles_title":"","_seopress_titles_desc":"Pre-study for Dynamic Volatility Adjustment (DVA) using a Smith-Wilson extrapolation in market risk measurement.","_seopress_robots_index":"","_seopress_robots_follow":"","_seopress_robots_imageindex":"","_seopress_robots_snippet":"","_seopress_robots_primary_cat":"","_seopress_robots_breadcrumbs":"","_seopress_robots_freeze_modified_date":"","_seopress_robots_custom_modified_date":"","_seopress_robots_canonical":"","_seopress_social_fb_title":"","_seopress_social_fb_desc":"","_seopress_social_fb_img":"","_seopress_social_fb_img_attachment_id":0,"_seopress_social_fb_img_width":0,"_seopress_social_fb_img_height":0,"_seopress_social_twitter_title":"","_seopress_social_twitter_desc":"","_seopress_social_twitter_img":"","_seopress_social_twitter_img_attachment_id":0,"_seopress_social_twitter_img_width":0,"_seopress_social_twitter_img_height":0,"_seopress_redirections_value":"","_seopress_redirections_enabled":"","_seopress_redirections_enabled_regex":"","_seopress_redirections_logged_status":"","_seopress_redirections_param":"","_seopress_redirections_type":0,"_seopress_analysis_target_kw":"","_seopress_news_disabled":"","_seopress_video_disabled":"","_seopress_video":[],"_seopress_pro_schemas_manual":[],"_seopress_pro_rich_snippets_disable_all":"","_seopress_pro_rich_snippets_disable":[],"_seopress_pro_schemas":[],"footnotes":""},"categories":[38],"tags":[],"class_list":["post-58597","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-asset-manager","infinite-scroll-item","generate-columns","tablet-grid-50","mobile-grid-100","grid-parent","grid-50","resize-featured-image"],"_links":{"self":[{"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/posts\/58597","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/comments?post=58597"}],"version-history":[{"count":2,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/posts\/58597\/revisions"}],"predecessor-version":[{"id":82675,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/posts\/58597\/revisions\/82675"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/media\/82347"}],"wp:attachment":[{"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/media?parent=58597"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/categories?post=58597"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/rivacon.com\/en\/wp-json\/wp\/v2\/tags?post=58597"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}