OUR SOLUTIONS FOR YOU

We are the leading experts for outsourced processes of valuation, risk analysis and repor­ting on financial investments.

Our services around evalua­tion and valuation of financial instruments and transactions are mani­fold and grow with our clients’ tasks and requirements.

WHAT WE DO

In all areas where exper­tise and judge­ment rela­ting to market experience are required, we are avail­able as a provider of specific and individual solutions. We valuate virtually all financial instruments and port­fo­lios from the simp­lest financial deri­va­tives to the most complex struc­tures. Further­more, we offer effi­cient solutions for analy­sing transactions, ex ante as well as ex post.

Value & Risk was founded in 1996. Over the past twenty years and more, we have grown from being a start-up that initi­ally operated in a niche market to the leading valuation service provider in Europe. Over the years and with a growing number of customers, we have continuously expanded and opti­mized our service portfolio, and we now offer our customers an unri­valled combi­na­tion of service, quality and reliability.

Extre­mely high flexi­bi­lity and effi­ci­ency in putting solutions into practice is one of our strengths and our advan­tage as a service provider. Since all deve­lo­p­ments, processes and calcu­la­tions are carried out and taken care of by us– in our system envi­ron­ment – we can react immedia­tely to customer-specific demands. The fact that we always create individual reports attuned to customer’s systems and needs, keeps the cost for our customers’ IT and specialist depart­ments at a minimum and allows smooth and trouble-free inte­gra­tion of the solutions provided.

This service is topped off with our ISAE 3402 Type II certi­fi­ca­tion, ensu­ring the highest quality stan­dards and assurance on an annual basis.

Curr­ently Value & Risk probably has the largest team of experts on valuation services in Europe.
Our specialist staff consists of 25 highly quali­fied financial experts with academic degrees (master’s, Ph.D. or similar) and many years of experience in trading, trea­sury or risk controlling.

By means of conti­nuous trai­nings and individual specia­liz­a­tions on particular subject areas, we ensure that customers, audi­tors and super­vi­sory authorities will always find a renowned expert as a compe­tent point of contact in us.

These are our fields of expertise:

  • Financial analysis:
    Includes, among other things, the analysis of financial instruments and financial markets as well as analysis of corpo­rate and financial struc­tures for performing internal rating assess­ments needed for debt and equity valuation.
  • Quan­ti­ta­tive analysis:
    Includes prima­rily crea­ting mathe­ma­tical valuation models and valuation methods and buil­ding and main­tai­ning the own model library as well as the instru­ment and valuation database.
  • Financial engi­nee­ring:
    Includes the valuation and assess­ment of complex and inno­va­tive financial instruments and derivates.

To Value & Risk, personal contact and close rela­tions are the foun­da­tion of any trus­ting part­nership. We run our opera­ting business from Frankfurt am Main, a city in the heart of Europe and one of the world’s most important financial centres. Our employees are on site at all hours and will assist our customers in a friendly, solution-oriented and effi­cient manner of highest “Made in Germany”-quality.

Outsour­cing our business is not an option for us and our customers know and appre­ciate that.

With our contrac­tual model, too, we try to provide our customers with the flexi­bi­lity our services and solutions offer. Our long years of experience show that financial markets and inves­tors do not form a homo­ge­neous group. Diverse as the range of invest­ment oppor­tu­nities is, the requirements regar­ding individual services and sett­le­ments are equally diverse. We meet those needs by working out a contrac­tual model for each customer, tailored for their needs and consis­ting of a frame­work agreement and an asso­ciated individual service level agreement (SLA). This model allows us to offer maximum flexi­bi­lity while ensu­ring a high contrac­tual service assurance.

The response times for valuation requests and “challenges” are agreed upon in the respec­tive service level agreement and laid out in a way that ensures a quick reac­tion under any circumstances.

In order to provide a maximum of secu­rity and transparency to the customers, Value & Risk makes exten­sive docu­men­ta­tions avail­able. Not only the valuation reports are adjusted to the respec­tive customer requirements, also the documentation and audit obli­ga­tions of our customers are met by a wide range of various audit reports and addi­tional services. Generally, we provide audit reports for all valuations in any depth of detail requested. The transparency we achieve goes so far that, if needed, all our valuations can be checked at any time and in detail.

Process safety and assurance are promi­nent quality features in the financial industry. With its processes, the IT secu­rity and assurance as well as the internal control systems, Value & Risk meets the highest quality requirements of the super­vi­sory authorities.

The fact that we meet these requirements is substan­tiated by the exten­sive, in-depth quality checks carried out annu­ally by the audi­ting company KPMG. The audit complies with the Inter­na­tional Standard on Assurance Enga­ge­ments No. 3402, Type II and not only covers the design of the internal processes and quality assurance mecha­nisms but also deter­mines their effec­ti­ve­ness and efficiency.

This certi­fi­cate provides a maximum of opera­tional secu­rity and assurance to our customers, and allows them to reduce their own efforts regar­ding controlling, compli­ance and audit procedures.

In addi­tion to a number of highly effi­cient auto­mated quality assurance mecha­nisms based on both statistical/mathematical models and heuristics, all important produc­tion process steps as well as market data and customer reports are always moni­tored according to the four-eyes principle (two-man rule) by our quali­fied experts and the results are constantly subjected to critical judge­ment. That way we managed to reach a level of quality probably unmat­ched in this business.

Value & Risk has an exten­sive quality assurance system whose moni­to­ring objec­tives cover two inter­con­nected core areas – the valuation process and the opera­tional risk management (esp. data secu­rity and business conti­nuity). The moni­to­ring system is based on the following basic principles: sepa­ra­ting the func­tional respon­si­bi­li­ties of produc­tion and quality control (four-eyes principle), unrestricted access to infor­ma­tion and indepen­dence of controls, complete (and mostly auto­mated) documentation of all work steps.

The control objec­tives within the valuation process comprise the following areas:

  • Customer requests. Moni­tored are: authen­ti­ca­tion of customers and the regu­la­tory stan­dards and SLAs to be used.
  • Instru­mental analyses. Moni­tored are: iden­ti­fi­ca­tion of the instruments to be evaluated and correct­ness of chosen valuation approaches.
  • Model valuation. Moni­tored are: correct­ness of valuation setups, suita­bi­lity of valuation models, correct­ness and consis­tency of market data, correct­ness of calcu­la­tions, plau­si­bi­lity and consis­tency of valuation results.
  • Customer reports. Moni­tored are: comple­teness, correct­ness, and timely deli­very of reports.

The control objec­tives within the opera­tional risk management cover the following areas:

  • Business conti­nuity and secu­rity of IT. Moni­tored are: intro­duc­tion and proper commu­ni­ca­tion of internal secu­rity guide­lines; implementation of controls in human resources (contrac­tual matters and termi­na­tion of work relation­ships); implementation of physical and virtual secu­rity systems (secu­rity regu­la­tions, access controls, fire protec­tion, secure storage of hard­ware); implementation of a commu­ni­ca­tion secu­rity system and opera­tional secu­rity management (protec­tion from malware, audit recording, moni­to­ring third party services); implementation of access controls (user regis­tra­tion, special rights, pass­word management); implementation of an incident business conti­nuity management and a business conti­nuity management.

Since 2010, the processes of quality assurance are audited annu­ally in accordance with the Inter­na­tional Standard on Assurance Enga­ge­ments No. 3402, Type II. The external audit covers both the orga­niz­a­tion of internal control systems and its effec­ti­ve­ness. Further details can be taken from the current KPMG audit report.

Actively traded market prices – ideally from regu­lated or orga­nized markets such as stock exch­anges but also from OTC transactions – should serve as the primary data source for an adequate valuation of financial instruments. If reli­able prices, i.e., prices from credible sources with suffi­cient sales volume, are obser­v­able on the market, Value & Risk collects them from various market data provi­ders, corrects them for poten­tial data errors and uses a specially deve­loped statis­tical proce­dure to calcu­late a valuation corridor, i.e., an upper and lower price limit that the instru­ment can be bought/sold for on the market under fair conditions.

In cases where an appro­priate “mark to market” valuation according to the method described above is not possible, due to the lack of avai­la­bi­lity of liquid market data or a lack of market depth, Value & Risk is able to create a “mark to model” valuation using appro­priate valuation models for almost every financial instru­ment. For this, we have an exten­sive model library which complies with the latest profes­sional stan­dards. Our highly quali­fied experts subject every trade to a detailed analysis, and a broad reper­toire of quality-assured market data form the basis of a sound valuation.

IFRS 9 sets out the principles of accoun­ting for financial assets and liabi­li­ties, defi­ning the term “fair value” as the objec­tive market/time value that would be deter­mined by know­led­ge­able willing parties.

For the calcu­la­tion of the “fair value”, the IFRS provide a three-stage proce­dure, which is based firstly on directly obser­v­able, traded market prices. If these are not avail­able, due to insuf­fi­cient liqui­dity, the calcu­la­tion should be based on “compa­ra­tive values”. The third and last option provided by the IFRS uses esti­mates, i.e., a model valuation.

With our access to nume­rous market data provi­ders and the exper­tise of our team, Value & Risk ensures a reli­able supply of valuation results across all three categories.

UCITS (Under­ta­kings for Collec­tive Invest­ments in Trans­ferable Secu­ri­ties) defines invest­ment funds whose invest­ment universe is restricted by the Euro­pean Union to highly liquid secu­ri­ties (eligible assets), generally equi­ties, bonds and derivatives.

These funds, or their mana­gers, are subject to the admis­sion requirements of the relevant super­vi­sory autho­rity as well as to regular controls by the same.

In addi­tion, UCITS funds are required to regularly value their assets. If the valuation is made in-house, EU direc­tives require it to be conducted inde­pendently of trading and portfolio management, to avoid conflicts of interest. The guide­lines also allow the outsour­cing of the valuation process. With its rigo­rous quality stan­dards audited under ISAE 3402 Type II, Value & Risk is avail­able as a stra­tegic adviser on UCITS valuation challenges or an external valuation partner. This applies both to the supply of previously vali­dated and quality-assured market prices for “mark to market” valuation of liquid secu­ri­ties and to the “mark to model” valuation and risk measu­re­ment of illi­quid secu­ri­ties and deri­va­tives based on the latest financial mathe­ma­tical models.

As AIFs (Alter­na­tive Invest­ment Funds), EU law applies to all invest­ment vehi­cles that are not UCITS. With the Alter­na­tive Invest­ment Fund Mana­gers Direc­tive (AIFMD), the EU Parlia­ment and the EU Council created in 2011 uniform stan­dards for open- and, for the first time, closed-end funds, desi­gned to protect inves­tors. In Germany, the AIFMD was trans­posed into national law by the KAGB in July 2013. As a result, AIFs are also subject to the legal requirements for admis­sion, as well as to super­vi­sion and regular valuation of assets.

In contrast to UCITS, AIFs are charac­te­rized by a much broader range of invest­ment oppor­tu­nities – beyond the standard instruments. This incre­ases the comple­xity of complying with the regular valuation and asso­ciated documentation obli­ga­tions. As in the case of UCITS, the valuation, if carried out by the AIF itself, must be performed by desi­gnated experts and must be inde­pen­dent of trading and portfolio management, according to the AIFMD Level 2 Regu­la­tion. The process can also be outsourced and handed over to an external service provider. Value & Risk has suitable experts for virtually every asset class and acts as an inde­pen­dent valuation service provider with no conflict of interest with the AIF.

With strong internal proce­dures and controls certi­fied according to ISAE 3402 Type II and with many years of valuation exper­tise, Value & Risk acts as a stra­tegic adviser on AIFMD valuation challenges or as an external valuation partner. Our offer spec­trum covers almost the entire range of alter­na­tive invest­ment oppor­tu­nities, ranging from secu­ri­ties and deri­va­tives (of any comple­xity) to private equity and real estate, projects in rene­wable and conven­tional ener­gies, infra­structure projects, aircraft and ship finan­cing and much more.

Before a tran­sac­tion can be completed, asset mana­gers and custo­dians are confronted with a multi­tude of questions.

Is the product compre­hen­si­vely and fully described in the accom­panying documentation and are all the risk factors clearly identified?

Is the negotiated/announced price fair?

Can the regular valuation required by the regu­la­tions be ensured, even after the transaction?

We support our customers in addres­sing these issues in advance of the tran­sac­tion. Our experts analyse the prospec­tuses of the instru­ment, make sure that the infor­ma­tion and market data supply allow for a regular valuation and deter­mine a first fair price, which can serve as a basis for the negotiation.

Value & Risk offers special vali­da­tion reports that vali­date the prices of third parties. For each product, we verify the coun­ter­party price with liquid market prices or a calcu­lated fair valuation corridor, based on up-to-date market data, product risks and market conditions.

The Minimum Requirements for Risk Management created by the German Banking Super­vi­sion Autho­rity (BaFin) for banks and their coun­ter­part for capital management compa­nies (KAMa­Risk) demand that both these types of insti­tu­tions check their trading acti­vi­ties for market confor­mity. This test must be carried out by tech­ni­cally quali­fied personnel who are inde­pen­dent of the trading depart­ment. This applies to both the choice of calcu­la­tion methods and the valuation infra­structure, as well as the under­lying market data – a process that entails high costs and consi­derable manpower.

Value & Risk is avail­able to you as an external partner with a cost-effec­tive and easy-to-inte­grate solution. We offer a quali­fied market confor­mity check (MCC) for all financial products, from liquid secu­ri­ties to complex deri­va­tives, based, where avail­able, on market prices or on a model valuation. Depen­ding on the requirements of the customer, daily high-low margins or tick-based intraday quotes of arbi­trary fineness serve as the data basis. Only those transactions which do not pass the critical assess­ment by our experts, consi­de­ring all tran­sac­tion-specific and accom­panying market circum­s­tances, are iden­ti­fied as being not in line with the market.

Part of the Euro­pean Union’s PRIIPs rules is the obli­ga­tion to calcu­late the tran­sac­tion costs incurred in the crea­tion and management of a fund. For the calcu­la­tion of these tran­sac­tion costs, Value & Risk, in coope­ra­tion with Refi­nitiv, offers a service based on intraday data. For all fund-specific transactions, inclu­ding the legally prescribed period of the past three years, the tran­sac­tion costs of each fund compo­nent are calcu­lated based on the diffe­rence between execu­tion price and market price at the time of order.

Extre­mely high flexi­bi­lity and effi­ci­ency in putting solutions into practice is one of our strengths and our advan­tage as a service provider. Because all deve­lo­p­ments, processes and calcu­la­tions are carried out and taken care of by us right here – in our system envi­ron­ment – we can react immedia­tely to customer-specific demands. The fact that we always create individual reports attuned to the customer’s systems and needs, keeps the costs for our customers’ IT and specialist depart­ments at a minimum and allows a smooth and trouble-free inte­gra­tion of the solutions provided.

In order to provide a maximum of secu­rity and transparency to customers, Value & Risk makes exten­sive documentation avail­able. Not only are the valuation reports adjusted to the individual customer requirements but also the documentation and audit obli­ga­tions of our customers are met via a wide range of audit reports and addi­tional services. Generally, we provide audit reports for all valuations in any depth of detail requested. The transparency we achieve goes so far that, if needed, all our valuations can be checked at any time and in detail.

Value & Risk offers various solutions within the Inter­na­tional Financial Repor­ting Standard 9 (IFRS 9). Along­side the solutions for hedge accoun­ting, Value & Risk also offers solutions for implementation of the Expected Loss Impairment Model, which applies to the financial assets held at “amor­tized cost” or at “fair value through other compre­hen­sive income”.

“There is no such thing as a free lunch.” This was already known and postu­lated by the econo­mist Milton Friedman. Return always involves risk. Clas­si­fying and quan­ti­fying this risk adequa­tely, whether for a single invest­ment or an entire portfolio, repres­ents a major chal­lenge for many market parti­ci­pants in terms of both personnel and resources.

Thanks to many years of experience in the valuation of financial instruments in all asset classes, Value & Risk serves as highly quali­fied partner in the analysis and calcu­la­tion of risks.

As part of a specific risk analysis, we calcu­late risk figures for financial products or port­fo­lios consi­de­ring market, liqui­dity and default risk.

Since its incep­tion in the mid-1990s, value at risk, toge­ther with its expan­sion, the expected short­fall or condi­tional value at risk, has become the bench­mark for risk quan­ti­fi­ca­tion and has gained reco­gni­tion from regu­la­tors regar­ding the risk-management process.

Ensu­ring a reli­able data­base and the required ongoing reviews of the model, inclu­ding back testing, poses a major chal­lenge for many inves­tors. For products whose comple­xity and struc­ture cannot be mapped with the risk measu­re­ment systems used by financial insti­tu­tions, Value & Risk carries out the risk calcu­la­tion and ensures the correct repre­sen­ta­tion of the products in the risk of the customer.

Nume­rous factors deter­mine the deve­lo­p­ment of a financial product. On behalf of the customer, Value & Risk deter­mines the individual risk factors of a product and quan­ti­fies the influ­ence of each factor. The sensi­ti­vity measures thus deter­mined enable the customer to calcu­late future price changes by varying a single risk factor or any possible combi­na­tion of risk factors. We are happy to advise you on the selec­tion of the driving factors as well as their possible bandwidths.

The advanced risk analysis also includes scen­ario calcu­la­tion. In this type of stress test, extreme market situa­tions are simu­lated by varying the diffe­rent risk factors that are relevant for the deter­mi­na­tion of the price of an instru­ment. Thus, their impact on individual instruments or whole port­fo­lios is measured. We support our clients in the adequate selec­tion of scen­a­rios and carry out the calcu­la­tions based on our own model library.

Value & Risk is one the leading busi­nesses for evalua­ting illi­quid and complex financial instruments in Europe.
Refi­nitiv is a globally leading provider of market data, financial infor­ma­tion and economic infor­ma­tion. By combi­ning business exper­tise and inno­va­tive tech­no­logy, Refi­nitiv provides decision-makers and market players with crucial and intel­li­gent infor­ma­tion and solutions.

With ValPoint Value & Risk and Refi­nitiv jointly offer a compre­hen­sive solution, which combines inde­pen­dent valuation, plau­si­bi­lity assess­ment of market prices and exten­sive documentation. ValPoint is a joint solution of both houses for covering all current valuation needs of banks, asset mana­gers, depo­si­ta­ries, insurance compa­nies and pension funds. We unite the strengths of both compa­nies to offer a unique solution.

ValPoint’s service is a compre­hen­sive evalua­ting solution for financial products. On the basis of Refinitiv’s data plat­form “Data­Scope Select” all financial instruments are assessed regar­ding their market liqui­dity and price reliability and clas­si­fied into one of the regu­la­tory prede­fined valuation categories.

The solution includes the following services:

  1. Valuation of port­fo­lios according to § 26 ff KARBV: This includes the entire process from quali­fying instruments according to diverse valuation requirements to provi­ding conforming prices along with accom­panying documentation.
  2. Calcu­la­tion of model-based or “fair value” prices: Should a market price valuation be ruled out due to lacking trades or insuf­fi­cient market depth, Value & Risk can provide “fair value” prices in accordance with § 28 KARBV on the basis of suitable valuation models for nearly all assets.
  3. Price vali­da­tion and plau­si­bi­lity check: As a part of evalua­ting invest­ment certi­fi­cates, Value & Risk offers services as well as repor­ting solutions and documentation solutions to support the invest­ment company and depo­si­ta­ries in their moni­to­ring function.

Valuations of Assured Quality
Inde­pen­dent, high-quality, and enti­rely trans­pa­rent portfolio valuations and price vali­da­tions on front office level complying with all actual audi­ting standards.

100 % Coverage
Coverage of all financial asset classes (e.g. interest rates, equites, FX, fixed income, ABS, commo­dity, infla­tion etc.), both active and inac­tive markets and all levels of complexity.

Matching Any Demand
Wide range of solutions for valuation of financial instruments and vali­da­tion of third-party prices with Valuation Corridor© approach.

Assurance
Secu­rity for regu­la­tory requirements.
Coverage of all current regu­la­tory requirements and prepa­red­ness for incor­po­ra­ting future regulations.

Certi­fi­cated According to ISAE 3402 Type II
ISAE 3402 Type II assured process. Compli­ance with the strict quality stan­dards for the banking sector.

Transparency + Documentation
High transparency thanks to produc­tion process with assured quality and complete documentation of processes and methods.

Exten­sive Audit Support
Special (expert opinion) reports gene­rated by our analysts support the align­ment process between customers or internal and external auditors.

Comfort
Premium Support: Service Level Agreement
Profes­sional support by our expert team in Frankfurt for the entire chain of valuation and vali­da­tion. Clear esca­la­tion levels and reac­tion times (price chal­lenge) according to SLA.

Tailor Made
Solution approaches adjusted flexibly and indi­vi­du­ally to the respec­tive customer’s demands.

Consis­tent Processes
Service from one provider with consis­tent processes, inter­faces and contact persons for all questions.

Estab­lished Tech­nical Platform
Market proven and scalable tech­nical plat­form using Refinitiv’s Data­Scope Select.

A bench­mark is a figure used to measure the perfor­mance of invest­ment decisions or to calcu­late an index.

In order to protect inves­tors, the Euro­pean Parlia­ment issued the Bench­mark Regu­la­tion in June 2016, which estab­lishes a legally binding Euro­pean frame­work for the deter­mi­na­tion of bench­mark values. This stipu­lates that the provi­ders of indices or bench­marks must be approved by the relevant super­vi­sory autho­rity and must publish their proce­dures for deter­mi­ning the bench­mark and the possible risks involved. In addi­tion, the regu­la­tion makes strict demands on the quan­tity and quality of the data used, as well as the quality assurance process and methods of dealing with poten­tial conflicts of interest.

The moti­va­tions for using bench­marks or indices are diverse. Regard­less of whether our clients want to assess the perfor­mance of their invest­ments using their own compa­ra­tive calcu­la­tion, or whether they have invested in an individual index product and need to vali­date the values published by the index sponsor for pruden­tial or economic reasons, Value & Risk is able to create or recon­struct almost every bench­mark or index in the customer order.

Value & Risk assesses a broad range of diffe­rent liquid and illi­quid financial instruments on a daily basis. From these results, and with the help of the market data used, we can derive a variety of data, which in turn are used in the valuation of other illi­quid instruments with scarce market data supply. Through this so-called peer method, Value & Risk is able to provide credit curves, vola­ti­lity surfaces, yield curves, currency curves, commo­dity curves, implicit divi­dends and much more, for nume­rous illi­quid underlyings.

Value & Risk possesses an exten­sive and highly perfor­mant data and model library which is taken care of every day with great effort and expert know­ledge. Espe­cially genera­ting interest rate and credit spread curves on a daily basis as well as vola­ti­lity surfaces for a large number of curren­cies, issuers, subor­di­na­tion levels and product cate­go­ries can only be rendered by our unique combi­na­tion of tech­nical sophisti­ca­tion and profes­sional judge­ment alone.

That way hund­reds of credit spread curves are gene­rated every day for single issuers or peer groups, by conver­ting thousands of bond prices into spreads, filte­ring them by various criteria such as issuer, industry, currency, subor­di­na­tion, rating etc. and conden­sing them into specific credit risk profiles. From these clus­ters of spread points, high-quality credit spread curves are gene­rated using mathe­ma­tical methods of regres­sion and optimization.

For all products with default risk, for which no risk assess­ment by a renowned rating agency is avail­able, Value & Risk deter­mines the risk by means of an “internal short rating analysis”. For this purpose, various reco­gnized rating proce­dures and models are avail­able, from which our experts calcu­late the best possible result for the assess­ment of the relevant default risk.

Of course, our service is not limited to the valuation and topics affi­liated to it. We also provide support, consul­ta­tion and trai­nings to our customers in all subject areas related with our services. For example, in estab­li­shing new product processes, performing audits, or acqui­si­tions. We support projects or help out our customers with our expert opinions in cases of borrower default, over the course of creditor meetings or in taking invest­ment decisions. To be as effi­cient as possible, we always adjust our consulting services to our customers’ individual needs.

Asses­sing financial instruments and financial markets as well as analy­sing corpo­rate struc­tures and financial struc­tures for deri­ving company ratings or performing invest­ment valuations fall under the cate­gory of financial or invest­ment analysis.

The financial market is constantly under­going changes. New products are created, new markets opened and new, complex valuation models deve­loped. Thanks to our specia­liz­a­tion on valuations, we are able to follow all trends and adjust to changes quickly. We pass on this expert know­ledge to our customers during trai­ning courses in which we shed light on current market trends, new financial products and markets as well as deve­lo­p­ments of models and valuation approaches.

For clari­fying valuation discrepan­cies or to assess financial instruments and financial transactions, we create reports and expert opinions for our customers.

MORE VALUE — MORE RELIABILITY

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