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Mortgages Integration Project at ABN AMRO
Mortgages Integration Project at ABN AMRO Since mid-2011 we have been working on an integration project at ABN AMRO and their daughter ABN AMRO Hypotheken Groep. The project requires mortgages to move from an obsolete system to the Quantitative Risk … Continue reading
Executive Master of Actuarial Science (EMAS)
We are very happy to be on the steering committee responsible for the Actuarial Association’s new master program: Executive Master of Actuarial Science (EMAS). The committee helps shape the content and context of the course. Continue reading
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Tagged Actuarial Association, EMAS, Executive Master of Actuarial Science
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Validation at Kempen & Co
Last month we finished a model validation assignment for Kempen & Co. We teamed up with Valu8 to validate the methodology used to valuate and hedge the Inflation Breaker, a portfolio of ground lease contracts. The contracts in the portfolio generate monthly cash flows based on the rent. Rents increase, annually, with the Dutch pricing inflation index. At maturity of the contract, the tenant has the option, but not the obligation, to buy back the land. Continue reading
Modelling Pension Rights at Cardano
We were asked to support Cardano’s effort, starting of with validating and optimising the Excel/VBA code used to model the pension rights. We completed our involvement in the project by providing a first analysis of the raw data. Continue reading
It’s Not All Software – Helping A Cell Phone Manufacturer
One thing we do is build organisational structures that enable success. We have a number of configurations for financial engineering, but they look suspiciously like the configurations that can be used in hardware companies… What a hardware and financial engineer … Continue reading
Teaching at Actuarial Association
The Actuarial Association (Actuarieel Genootschap, AG) is the professional association of actuaries and actuarial specialists in the Netherlands, of which very nearly all actuaries are members. The AG has developed into a platform for actuaries to communicate among themselves and with society at large. Continue reading
Valuation tool for a Dutch Bank
For this project we helped a Dutch bank with the valuation of a portfolio with loans. The client required tooling that would generate valuation reports of their holdings for accounting purposes. The portfolio had various embedded option features within the foreign loan contracts. Continue reading