CASE STUDY : FINANCIAL MODELLING

Context
An asset management firm calculates its value at risk based on an internal, historical tool which has not been well maintained. It asks ESTER to carry out an audit of this tool and help define how it needs to be brought up to date.
Challenges associated with the mission
  • Insufficiently documented historical code
  • Introduction of new asset classes
  • Data management
  • Sharing of works and documentation
Distinguishing features
  • Understanding of the underlying financial products and of markets dynamics
  • Deep understanding of risks
  • Ability to translate the needs of risk teams for IT teams
What our clients say about us

ALM Director

CAC 40 Company

We asked ESTER to perform a technical audit of the data supply and calibration methods of one of our internal financial modelling tools, as we had seen that ESTER’s consultants had both the ability to quickly understand the financial framework in which we operate and the technical expertise required to audit sophisticated multi-asset modelling. We were impressed by the professionalism of the ESTER consultants during the two-year assignment, as well as by their comprehensive expertise in financial modelling techniques. They produced all the expected deliverables at a high level of quality and on time, and prepared clear and instructive reference documents, perfectly matching our specifications.

Head of ALM

French Financial Institution

We selected ESTER to conduct a critical review of the asset allocation model. The consultants, who are both technically accomplished and pragmatic, quickly took the measure of our model and produced a relevant and particularly constructive review. We have implemented several improvements proposed by ESTER, and the quality and accuracy of the tests and deliverables met our strictest requirements.

Chief Investment Officer

Insurance Company

ESTER carried out an assignment for the Investment and ALM Department, aimed at extending the capacity of our solvency projection tools. The consultants were asked to build an IT module capable of transforming the risk-neutral scenarios generated by the Group and used in the context of Solvency II into real world scenarios, in order to better capture the behaviour of credit assets and equity assets. This real world vision is a useful complement to our portfolio construction tools. ESTER’s consultants built an effective and well-documented tool, in permanent dialogue with our teams. We are very pleased that we selected ESTER for this assignment.

ESTER S.A.S – Société Anonyme Simplifiée au capital social de 60 000 euros

Conseiller en Investissements Financiers immatriculé à l’Orias sous le numéro 13000667, www.orias.fr, et membre de la CNCIF.