Case studies to illustrate our realisations in the different fields of intervention :

Market Risk

For the Equity derivatives department of an investment bank, Lunalogic has carried out a mission in functional expertise (in the field of risks and equity derivatives) and in project management
Management of a 3 person team and management of projects related to the configuration of an application producing market risks, P&L and Pricing reports :

•  Management of the configuration of calculation engine for P&L and Risks (GUI + scripts)
• Support to Front-Office users (Trading, Quantitative research) and Market Risk
• Set up of new financial reports jointly with the research (analysis + validation)
• Set up of post-calculation reports
• Daily follow-up of different reports

For the risks department of a corporate client dealing with the purchases/sales of electricity, Lunalogic has led an audit of currently used price models and has suggested a new methodology for the calculations of risk indicators :

• Analysing structured transactions, producing risk indicators (Stress Tests, Value-at-Risk, Earning-at-Risk) and reporting for the Top management
• Improving processes and risk calculation models (configuration, calibration, ergonomics, optimisation …)
• Steering the “risks committees”: planning, animating, redacting reports
• Improving and validating the existing price broadcasting models, supplying with specialised financial library

Operational Risk

For the Equity Derivatives department of an investment bank, Lunalogic has elaborated statistical and mathematical models to check-up analysis via experts’ scenarios in collaboration with operational risk analysts and business correspondents :

• Building up estimators of index de queues de distribution (théorie des valeurs extremes)
• Set-up of a methodology to exploit internal and external databases
• Modelling incidents processes: Bayesians networks, arbres de défaillance, generalised Bayesians networks
• Developing tactical applications thanks to analysis (R&D)

R&D

Within, the R&D service of the Commodities department of an investment bank, Lunalogic has participated to the conception and development of financial models, to financial and mathematical monitoring.

For a cooperative bank, Lunalogic has carried out a mission of project management and functional expertise projects linked to the evaluation of strong financial engineering products (derivatives from vanilla rates and semi-exotics) :

• Understanding and analysing quantitative evaluation models transferred to the evaluation team
• Defining models limits
• Qualifying the configurations of these models, completed if necessary or redefined within SUMMIT
• Calculating of coverage and Greeks and their methodology
• Insuring Level 2 support to financial library users
• Documenting of analysed models, redaction of memos
  Piloting the choice of a software solution for valorisation

Basel II

For a cooperative bank, Lunalogic has carried out a mission of credit risk management Basel II :

• Steering the project of feeding the calculation software for credit risk: Fermat GEM (Limits management) / Fermat CAD (Solveny ratio)
• Redacting functional cahiers de charges, costing, tests, and constitution of required data inventories for the supply of the software
• Production follow-up:  reconciliation between the delivering systems and the data supplied in the software, gap qualification

Asset Management

For the Alternative asset management department of a Hedge Fund, Lunalogic has provided the assistance to business analysis and IT development of various Front Office applications implemented in Paris, London, Hong-Kong: tool of information collecting management and investors’ flows analysis (input, output) and reporting aimed at the sales and the client department, tool management/help for decision making to the information system for the Private equity department, follow-up tool for opportunities taken on the LBO activity (Leverage Buy Out) :  

• Set-up of processes (framing meetings, costing, Release process, sources server)
• Meetings with the Business in order to define/frame the new functionalities
• Redacting the functional specifications
• Defining the plan de charges
• Modeling the database
• Functional tests
• Technical and functional support
• Conception and development

ALM

For a cooperative bank, Lunalogic has carried out a piloting mission for the project to supply the Fermat ALM software: redaction of the Scope Statement, costing, tests.

ALM/ Information Systems

For the account of the Treasury department of an investment bank, Lunalogic has led, organized and carried out a project to implement Front Office systems (for the trading, the Sales, the bank internal refunding) for its commercial bank located in Cairo in Egypt :

• Organizing Profit Centres for the Trading room (Forex, Trading, Treasury), refunding flows between the Treasury and the ALM on the one hand (pool from the Retail and Corporate commercial bank) and the Sales on the other hand
• Integrating the standard of the investment bank for the production of the PnL and the Market Risks
• Project management on the future implementation of the new Back Office system
• Business analysis on the development of the interface with Kondor+

Such project has been designated as pilot to validate the strategy of the international bank that wished to bring it to general use to the whole of its branches worldwide.