Case Studies

Global Risk Reporting

Issue Our client desired a replacement for an aging and inflexible global risk reporting system, impacting offices in three countries, which would improve the daily reporting cycle and reduce the constant maintenance required by IT staff.   Solution Our consultant’s broad business acumen and technical skills lead to a strong design based on the client's […]
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FTR VaR (Value at Risk) Reimplementation

Issue Our client was using a large Excel spreadsheet with multiple linked tabs to calculate value at risk (VaR). The client was not measuring VaR for any of its FTR positions. The volatility and correlation calculations were not properly weighted. In addition, the delta between the published price and the non-published price was […]
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MTM, Value at Risk (VaR), and Invoice Reports Validation

Issue For system changes, the client needed to agree or reconcile key reports (mark-to-market, VaR and invoicing) before and after the change. Visual comparison of each report’s outputs took too long and wasn’t always reliable. Solution MidDel’s consultant automated the process so that the underlying report output tables were […]
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