FINANCIAL RISK

Financial Risk Management is at the core of our DNA

Today, Risk functions are in a constant state of flux and pressure against a backdrop of increasing regulatory demands and enhanced regulatory scrutiny.

Our focus is to help clients in building best-in-class risk capabilities, not only to enhance the robustness of their risk frameworks and to strengthen resilience, but also to generate value. We achieve this by ensuring that clients deliver against all regulatory expectations while pragmatically integrating industrialisation and automation capabilities in day-to-day risk management activities.

We promote the need to continuously review, reassess and realign risk management capabilities, even within the most stable and well-embedded risk frameworks, so that Risk functions can stay ahead of the regulatory curve and play a central role towards long-term value generation as the backbone of Financial Institutions.

OUR VALUE PROPOSITION

Risk, Strategy & Governance

  • Defining the CRO agenda and Risk strategy taking into account market and regulatory constraints and opportunities.
  • Setting and embedding Risk Appetite frameworks and limits.
  • Enhancing risk oversight through robust governance in line with three lines-of-defense principles and best practice.

Risk & Control Frameworks

  • Streamlining end-to-end risk management processes. 
  • Developing a robust enterprise level risk taxonomy and control inventory.
  • Designing meaningful KPIs for the assessment and ongoing monitoring of the business risk profile.

Financial Risk Modelling

  • Enhancing the governance and processes to model financial risk particularly credit risk, market risk, capital risk and liquidity.
  • Developing and validating IRB, IFRS 9 and Stress testing models.
  • Integrating Climate Change risk parameters into existing internal models and portfolio management solution.

THEMATIC COVERAGE

Risk Modelling

  • Credit risk
  • Stress testing
  • Climate risk

Regulatory Risk

  • Reg. compliance (MiFID, FRTB, EMIR, Basel IV)
  • Conduct risk control framework assessment
  • SMCR complicance

Capital Management

  • Impairment and Loss forecasting
  • Capital adequacy
  • RWA optimisation

CASE STUDIES

IRB Repair

  • Small team of Quants performing model validation activities
  • All credit risk models in scope, technical and regulatory support, and preparation of response packages to ECB

French Bank 

Capital Metrics Validation

  • Validation of metrics used in capital requirement calculation
  • Deep dive validation of the regulatory calculation, including methodology challenge and implementation review. Assessment of Basel 3.1 impacts

Nordic Bank 

IRB Model Validation

  • Led validation of mortgage PD and LGD models
  • Technical and regulatory advisory to address challenges raised by the PRA and enrich model validation activities

UK Building Society

IFRS 9 Model Validation

  • Calibration and backtesting of IFRS 9 models parameters, namely PD, Forward Looking models, LGD, CCF, and Behavioural Maturity

International Bank 

Retail PD Independent Review

  • Independent model review in line with internal standards
  • Identification of key observations and comparison of its risk consistency with other independent model reviews

International Bank 

Cyclicality Assessment

  • Cyclicality optimization for Long Run PD calibration
  • Multi-dimension competing objectives: monotonicity, grade concentration, model discrimination, single grading scale

UK Bank