Areas of Practice

Model Development & Validation

We develop and validate financial models, including credit scorecards, capital adequacy and stress testing.  In particular, we:

  • Develop customized industry best practice analytical models and user-friendly automated reporting systems to enhance, replace, or cross-validate existing valuation, hedging, and risk management models and systems

  • Estimate the most efficient behavioral models for credit and market events and subsequent financial impacts, such as loss mitigation benefits

  • Conduct model validation analysis against industry best practice benchmarks

  • Assist clients in developing and implementing Basel II risk-based capital solutions

  • Create models and systems to improve business forecasting and profitability factor analysis

  • Assist clients with review and implementation of the latest tools available to improve trading, portfolio management, and business processes

Risk Management Analytics & Reporting

With improved model accuracy, portfolio managers can take more proactive actions to rebalance their risk-return profile. Volume limits and capital limits are traditionally used to avoid over-concentration of portfolio risks in small segments. However, global financial crises continue to reveal limitations of previous regulatory mandated compliance measures. Along with Basel III and Dodd-Frank compliance, many new risk management concepts have now been adopted by some of the world’s largest financial institutions. Timely monitoring of the risk exposure of a portfolio is one of the highest priorities faced by the government supervisory bodies as well as the shareholders of these institutions. We closely follow the newest developments in the market and provide the following advisory services to our clients:

  • Develop and enhance risk management policies, including risk-based capital allocation and managing market and credit risks of portfolios

  • Automate measurement and reporting necessary to support active portfolio management strategies

  • Conduct comprehensive analyses of risk-return composition and time profiles of existing portfolios at firm-wide and product levels

  • Analyze existing processes and systems for monitoring, management, and reporting of portfolio performance and risk exposure

  • Review operational management and risk control process and benchmark to industry best practices

Stress Testing & Regulatory Compliance Support

We develop and validate stress testing and capital adequacy frameworks, as well as conduct policy and program evaluations to advise our clients, including government entities, on their efficacy. In particular, we:

  • Develop and validate top-down and bottom-up stress testing approaches to support our clients with both internal and regulatory stress testing requirements

  • Estimate key banking items, including capital ratios, net charge off rates, allowance for loan and lease losses (ALLL), and asset growth rates to produce submission-ready DFAST reporting

  • Assist clients in developing and implementing Basel risk-based capital solutions

  • Conduct policy and program evaluations to support clients, including government entities, in assessing their efficacy