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Quaternion Expert Services team provides firms with an independent assessment of their financial planning, helping them to review the evolution of their portfolios, especially those under specific modeling assumptions.

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Finance & Accounting

Finance & Accounting Case Studies

Market Risk and IFRS reporting support for a specialist German bank

Engagement Goal:

A bank required the implementation of an engine capable of computing International Financial Reporting Standards (IFRS) P&L and risk numbers for their entire balance sheet.

Project Description:

Quaternion Expert Services implemented a pricing and risk engine for the finance and front office departments that could compute key inputs for the reporting and risk management of IFRS numbers. We introduced Open Risk Engine (ORE) that covered all of the bank’s financial instruments (deposits, loans, money market, bond and derivative trades) to compute current IFRS margins for all positions and risk numbers, providing a clear view of the bank’s overall IFRS income.

Introduction to the Open Source Risk Project

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