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Risk Management : Leverage our expertise
We advise our clients in all aspects related to market risk – modelling, IT implementation and business process setup. We work closely with our clients in the banking and asset management industry to develop and enhance risk management models and processes. We have practical implementation experience with most of the relevant model selection and development aspects, e.g. |
Value-at-Risk (VaR), Monte Carlo simulation, Delta-Gamma approximation, historical simulation, non-linear risks, spread risks, specific equity and interest rate risks (residual risks), back-testing methods, and the design of adequate stress tests.
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Waiver submission and regulatory approval
Financial institutions need to consider whether to use their internal market risk model for determining their trading book capital requirement and for regulatory reporting. By gaining regulatory approval, a number of our clients have been able to substantially reduce their regulatory capital, either via a direct waiver submission, or via extending an already existing model to cover specific equity and interest rate risks. |
The key challenges are often not posed by theoretical and model-related issues alone, but by data problems and system parameterisation.
We have accompanied many banks in the process of overcoming these issues, helping them to achieve their objectives in spite of the difficulties.
We can discuss with you the benefits of deploying an internal model and which issues must be given particular attention during the preparation of the required documents, and the waiver submission and supervisory review process. We can help you to safely obtain regulatory model approval.
If you already have an approved model, we can also help you to remedy any remaining shortcomings in an efficient manner.
Use our extensive experience to your advantage
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