Financial Institutions

“When we leave, the organization has improved and is enriched”

The assignments carried out by Zanders for financial institutions mainly relate to designing, specifying, documenting, implementing and testing risk management and valuation models. But what value does Zanders add to a financial institution? We posed a few questions to Jaap Karelse,… read more

On swap valuation and overnight rates

In the past, deriving the market value of an interest rate swap was considered fairly easy. Nowadays, things have changed. Things which once seemed stable are now unstable and a risk-free rate is no longer without risk. For this reason, the… read more

“The twilight zone is much larger than market optimists like to admit”

Professor Antoon Pelsser shares his opinion on Solvency II

In 2009, the European Council and the European Parliament adopted the Second Directive aimed at improving supervision on European insurance companies: Solvency II. The ‘total balance sheet’ approach, at which assets and liabilities are reported at fair market value, should provide… read more

Funds Transfer Pricing

Principles for implemeting an FTP framework

The basic idea of transfer pricing in financial institutions is to allocate costs and benefi ts equitably across the bank. This enables the creation of (isolated) internal P&Ls for diff erent departments. Hence, funds transfer pricing (FTP) helps management to measure… read more

Baby Boom

of Baby Gloom?

The man who makes my fishing poles wants to transfer his business. The company has been operating for more than 80 years. Many years ago it passed from father to son. Now it’s time for the son to start enjoying a… read more

Zanders Risk Management Seminar 2011

Navigation between market and regulations

About 200 participants attended Zanders’ Risk Management Seminar for fi nancial institutions on 28 November. This annual event took place in the old neoclassical church ‘De Duif’ (The Dove) on the Prinsengracht canal in Amsterdam. “This was a suitable location, where… read more

The illusion

of control

The cult 1970s writer Douglas Adams managed to reduce the meaning of ‘Life, the Universe and Everything’ to the banality of a two-digit number (42, in case you’re wondering), leaving the characters in The Hitchhiker’s Guide to the Galaxy baffled to… read more

Will Basel III force disintermediation?

Implications for high risk/high yield banking activities

The new capital requirements specified by the Bank of International Settlements (BIS), also known as Basel III, have landed broadly. A great deal of attention has been focused on the implications of Basel III for the capital structure of banks. Various… read more

Zanders is expanding

its UK office

Three years since Zanders first established its office in London, three new members of staff are set to help consolidate the company’s presence, with the aim of becoming a household name in the UK market.

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Model risk for non-maturing products

Most banks have significant amounts of non-maturing products on their balance sheets, such as current accounts and savings deposits. The contractual maturity is very small, so that the client could withdraw his or her money at short notice and banks can… read more

How to value a cross-currency swap

Since the first transaction in 1981 between the World Bank and IBM, the market of cross-currency swaps has grown rapidly. It represents, according to the Bank of International Settlements, an outstanding notional amount of USD 16,347 billion as per June 2010.… read more