Risk Management – our core competence
We cover the following risk area’s for Banks, Insurance and Funds. Under risk management we understand the identification, the assessment and the reporting of the risks. The risks we cover are:
- Credit risk, Delivery and counterparty risks
We address also specific issues such as Retail credit risk assessment, “Sovereign” risk assessments, or securitization (MBS,ABS, CDO,..) specific risks, Derivative position valuation, internal models and a simplified model approach. Country risk is part of this risk in our approach.
- Operational Risk
In this area we developed a full methodology in order to identify, assess and report the whole risks of the institution; in such a way that assessment can be done quickly, prudently and in a robust framework. Once the framework is in place, it becomes more and more precise and robust with the time and experience of the institution in this area.
- Interest rate risk
We estimate this risk based on models and simulations which are used to estimate the impact of future interest moves. A detailed modeling enable the estimation of the cash flows of all positions of the balance sheets in function of the yield curve and its moves.
Models analyse their impact on the economic value and the future revenue of the institution.
- Market risk or the risk of the trading book
The risk assessment of the trading book, is based on an aggregation of all risks within this area. Since market information are available on this side, more quantitative models can be used to assess and report these risks. We address the counterparty and delivery risk, the position risk, the interest rate risk, the currency risk, the commodity risks, through the angle of the regulatory approach, or through the angle of an internal model approach.
- Liquidity risk
Liquidity risk has been underestimated in the last decade. The crisis demonstrated the vulnerability of certain exposures to this risk. We developed an approach to measure this potential through stress tests and simulations. Of course we developed also assessment through the different regulatory views of the regulators. We analyze the treasury activity’s and policies for the appropriate assessments.
- Concentration risks
Our view of the concentration risk concerns concentrations on counterparties but also in sectors and business activities. We developed specific models and methodologies in those areas.
- Conclusion
The development of a risk management strategy is a complex and often longsome process. It requires a high degree of integration, objectivity und expertise.
Our longtime experience taught us, that very often it makes sense to involve an external consultant, since a lot of change management has to occur in order to achieve these objectives.