May & June provides risk consulting and system implementation service for financial institutions and trading companies, focusing on Basel II compliant market risk and ETRM (Energy Trading and Risk Managemenet) area with proven track record.
Our recent delivery includes:
Established in 2003, we worked on various topics in risk management such as risk strategy, policy setting, control implementation, quantitative modeling and system implementation. We understand today’s complex business environment and technical challenges and provide a comprehensive range of services helping clients to build a sound risk management framework.
Energy & Commodities Trading Risk Management (ETRM/CTRM)
Increased market volatility pose both risk and opportunity for corporates. ETRM system provides trading, operation and risk management function to help traders manage risk, protect their positions with enhanced transparency. ETRM is highly complex software and depending on the risk appetite of the company - either being a hedger, an opportunistic trader, or a specialized trader - different methodologies and implementation strategies are required. Also, ETRM implementation usually requires huge CM (Change Management) efforts.
Our ETRM services includes :
- ETRM feasibility study, vendor selection and ETRM implementation
- Change Management including policy, rule setting and training
- Quantitative market analysis
- Valuation and risk modeling (VaR, stress test, scenario analysis)
Market Risk for Financial Institutions
Our first market risk implementation dates back to early 2000. Since then, we actively work on market risk for banking and securities industry. With a deep understanding of financial industry trend and regulatory environment, we deliver market risk management solution to meet the compliance requirement and also provide value to risk managers through extensive analysis and modeling tailored for the client's business strategy and portfolio.
Our primary services for financial clients include :
- Market data analysis; time series modeling and statistical analysis
- Derivatives pricing and hedging strategy development
- Risk Measurement - VaR, ES, scenario analysis and stress testing
Enterprise Risk Management
With the constantly changing environment and volatile market conditions, proper risk management is vital for corporates. Not only in a protective sense, such as loss mitigation and P&L variance reduction, a proper risk taking a decision to explore a new area of growth is crucial for the sustained growth of a company. We provide a risk management transformation service, helping clients to set up a proper risk management framework and carry on a change management at the enterprise level.
Specific services include :
- Policy setting; risk appetite setting
- Rules & risk management procedures
- Process risk assessment and control design
- Investment risk assessment and portfolio management
- Cultural transformation and employee training
We know the business and risk managment and deliver a customized solution based on clients’ current and potential need, based on our two decades’ experience and market best practice. Also, we provide an end-to-end solution from clients’ viewpoint. We have developed a methodology and software architecture based on R, Shiny, Oracle APEX and FOEX to control complexity in risk management both in implementation and post go-live operation phase. Our approach has been proved to deliver user-friendly, small footprint, easy-to-maintain solutions at a much lower total cost of ownership. Please refer to a business case and an article on ourframework.
Features of our solution includes :
- Physical trade pricing, plain derivatives (futures, swap and vanilla options)
- Exotic derivatives pricing and risk managment
- Inventory Valuation
- Exposure and P&L calculation, P&L Attribution
- VaR (SMA, Historical, EWMA, GARCH and ARMA-GARCH) calculation
- Back test, simulation, scenario analysis, stress test
- Web based UI
- Custom report development using Oracle APEX nnd FOEX extension
- Risk Modeling
- Quantitative Market Analysis
- Market data outlier detection, smoothing, imputation and price curve generation
The FOEX Plugin Framework is a low-code rapid application development (RAD) tool that helps developers build enterprise-grade business applications using Oracle APEX and Sencha Ext JS. May and June is a FOEX Silver Partner, providing consulting and implementation service.