Financial Engineering

The problem

In finance, the calculation is the product. A loan is a sequence of payments, and every figure – present value, margin, effective interest rate, impairment – depends on those payments being generated and valued correctly. Repayment variants, capitalisation, indices, prepayments and fees quickly turn this into a system only someone who knows the domain can understand.

What I built

• Cashflow engines that generate payment streams from base data – with repayment types, capitalisation, interest conventions and indices.
• Valuation: fair value, present values, effective interest rate, margin and contribution analysis split into funding, interest, risk and capital components.
• IFRS 9 impairment: staging and loss allowance at single-account level, scenario analysis and stress testing.
• Planning: scenarios for P&L, liquidity and net interest income, reference rates in batch runs.
• Bulk calculation: the same engine for a single calculation during a client meeting and for a run across the whole portfolio – optimised for performance.

Why it matters

Systems like these rarely fail because of technology; they fail because the business and engineering mean different things. Combining both in one person means modelling the calculation so that controlling, risk management and software agree – and then actually building it.

The individual projects are listed under More projects: “Impairment (IFRS 9)” and “Calculation and planning application”.