Risk measures, pricing models, risk models and liquidity control.
Consulting and advisory services on economic capital estimation models, asset and derivative pricing. Construction of volatility surfaces and liquidity ratios and indicators.
Capital
Economic market risk capital requirements, VaR and ES capital models, liquidity and market risk compliance to the supervisory standards of the Basel Capital Accords.
Future Potential Exposure and Prudential Adjustments
Analysis and development of methodologies for measuring counterparty credit risk. Credit counterparty risk pricing (CVA, DVA, BCVA, FVA) and credit counterparty risk exposure metrics (EPE, EEPE, EAD, etc).
Pricing
Quantitative modelling of mark-to-market methodologies for financial assets and derivative instruments. Banking book instruments modelling.
Management
Analysis and development of market and liquidity risk management approaches and methodologies. Assessment of IRRBB management techniques and policies.
Basiléia II and III
Compliance to the Basel II and III Capital Standards. Market risk models and capital adequacy self-assessment program (ICAAP).
Credit risk parameters, economic capital portfolio models and independent model validations.
Risk parameters generation and credit loss portfolio models. Credit risk pricing methodologies and Basel Capital Standards compliance.
Portfolio Risk
Portfolio credit risk measurements development. Concentration credit risk and risk-adjusted performance measures (RAROC).
Pricing
Credit risk pricing methodologies and techniques. Credit securities, financial instruments and products pricing.
Risk Parameters
Quantitative modelling of credit risk parameters (PD, LGD, EAD, etc.), treatment of low default portfolios and parameter validation techniques (Basel committee WP 14).
Basiléia II and III
Basel II and III Capital Standards: structure, model development and implementation (IRB Approaches), ICAAP program and independent validation processes.
Operational risk parameters, capital models and process validations.
Internal and external data processes, approaches and methodologies for building databases. Generation of frequency and loss severity distributions, scenario analysis and key risk indicators. Economic capital mitigation tools, treatment of event correlations and dependencies, as well as compliance with supervisory capital standards.
Economic Capital
Analysis and development of methodologies for measuring for operational risk economic capital. Actuarial models with convolution of frequency and severity distributions.
Risk Parameters
Development and implementation of operational risk parameters generation methodologies. Operational risk cell aggregation: frequency, severity and loss distribution probabilistic models.
Scenario Analysis
Implementation and generation of an operational risk scenario program. Corporate governance and treatment of business expert opinions and cognitive biases.
AMA application
Specification and implementation of advanced measurement approaches (AMA). AMA operational risk architectures under internal model approaches.
KRIs (Key Risk Indicators)
Operational risk key risk indicators specification and implementation. KRIs measurement and monitoring processes.
Risk integration modelling approaches.
Development of quantitative methodologies for integrated risk measurements.
Risk Integration
Consulting for analysis and development of methodologies for integration and measurement of risks, development of methodologies for modeling dependencies and inter-risk calculations.
Integrated risk management process for assets and liabilities.
Assets and Liabilities Management
Provision of specialized advisory and coaching services in asset and liabilities management.
ICAAP implementation in all its qualitative and quantitative aspects.
Development and implementation of ICAAP qualitative and quantitative assessments for financial institutions.
Treatment of Basel Capital Standards Pillar II Risks.
Approaches and methodologies for the treatment and measurement of Pillar II Basel Capital Standards, such as concentration risk, strategic and business risk, reputational risk and socio-environmental risk.
Concentration Risk
Sector and counterparty credit concentration risk methodologies and approaches: analysis, development and implementation.
Strategic and Business Risk
Specification of strategic and business risk assessments and measurements approaches and techniques.
Reputational Risk
Development of reputational risk indicators and measurement approaches.
Environmental Risk
Development and implementation of environmental risk measurement methodologies.
