RIVACON advises banks and financial service providers on challenging topics in financial engineering, risk management, the design of valuation and data architectures, as well as in the application of predictive analytics and machine learning.
We have special technical know-how in the development of integrated valuation platforms and have our own powerful valuation library.
VALUATION OF FINANCIAL INSTRUMENTS AND TRANSACTIONS (TRADE ANALYTICS)
- Development of valuation models for structured products and derivatives
- Valuation of embedded options in commercial products
- Independent validation of valuation models
- Independent price verification, prudent valuation, market conformity
- Measurement of the trade P&L, P&L explain,
PORTFOLIO ANALYTICS AND PORTFOLIO RISK ASSESSMENT
- Credit, debt-, funding, collateral, margin- and margining- and capital valuation adjustment (XVA)
- credit portfolio modelling
- Counterparty exposure
- market risk measurement
- Measurement of liquidity coverage
VALUATION AND DATA ARCHITECTURES
- Development and extension of valuation libraries
- Implementation, extension and optimization of integrated valuation platforms
- Design and implementation of market data management systems
- Design and implementation of master, trade and product data systems
- Implementation and optimization of integrated data platforms
PREDICTIVE ANALYTICS AND MACHINE LEARNING
- Identification of misprices in the context of independent price verification
- Optimal order execution and margin control
- Adaptive learning of strategies for bidding processes
- Optimization of the management of power plants and storage facilities in the energy sector
- Analysis and forecasting models for time series data
Dr. Sascha E. Engelbrecht
Sascha has been managing partner of RIVACON since 2017. Previously, he held various management positions in the finance and consulting industry: as Director and Head of Risk & Analytics Practice at Nagler & Company, as Senior Manager in KPMG's Financial Risk Management Advisory, as Head of Risk Analytics at Dresdner Bank and Commerzbank, and as Head of Data & Analytics at Aspect Capital, a quantitative hedge fund.
Sascha received his doctorate from the University of Massachusetts, where he subsequently worked as a research scientist in the fields of machine learning and bio-cybernetics.
Prof. Dr.Christian Menn
Christian is a founding partner and managing director of RIVACON GmbH. Christian previously worked in equity derivatives trading at Sal. Oppenheim Jr. & Cie and DZ Bank - first as a model developer and later as a trader for structured equity correlation and index products.
After studying business mathematics at the University of Karlsruhe (TH) and earning his doctorate at the Faculty of Economics, Christian spent 18 months at Cornell University as a research assistant and lecturer in financial engineering. In 2013, he was appointed professor of Quantitative Methods at the Faculty of Economics at Mainz University of Applied Sciences.
Dr. Daniel Oeltz
Daniel is a founding partner and managing director of RIVACON GmbH. He worked as a quantitative analyst at Sal. Oppenheim Jr. and Cie in the front office, as quantitative risk controller at Talanx Asset Management, and as head of quantitative analysis at Macquarie Group Germany. Within the scope of his activities, he dealt intensively with model development and risk hedging of derivatives in the equity, currency and interest rate sectors.
Daniel studied Applied Mathematics at the University of Bonn and received his doctorate at the Chair of Scientific Computing and Numerical Simulation.
Dr. Kay F. Pilz
Kay is a founding partner and managing director of RIVACON GmbH. His professional career began at Sal. Oppenheim Jr. and Cie in Frankfurt am Main, where he worked as a front-office quant for equity derivatives in model development. In his later positions at E. ON Energy Trading and Steag GmbH, he was responsible as Senior Energy Quant for modeling and implementing multi-commodity models, valuation of gas storage facilities and gas swing contracts, optimizing power plant dispatching and hedging physical assets. Kay Pilz is currently developing statistical analysis and forecasting models that are used productively in trading strategies for electricity markets.
After studying mathematics at the University of Frankfurt, Kay Frederik Pilz received his PhD in Mathematical Statistics from the Ruhr-Universität Bochum. He still publishes regularly in journals on quantitative analysis and financial mathematics.
We are always interested in meeting talented and dedicated candidates. If you have sound knowledge or expertise in one of the topics mentioned above and if you want to be successful through commitment and would like to work for a young and dynamic company, then we look forward to receiving your application.
Please send your documents to email@example.com.