The increased focus on portfolio risk management is accompanied by a regulatory requirement or best practice-driven decision to ensure that the models used to value financial instruments in portfolio and/or to measure portfolio risks are reliable.

We support organisations with performance measurement and monitoring:

• Reviewing and validating the valuation models and related assumptions, used to determine the fair value of the financial instruments in portfolio (e.g., a credit risk derivative);
• Establishing a back testing programme for an organisation’s models to monitor their reliability, using actual fluctuations ("dirty backtesting") or hypothetical fluctuations ("clean backtesting") of the portfolio’s value;
• Establishing a stress testing programme to identify, measure and manage the risk of the occurrence of extreme variations of the risk factors to which a portfolio might be exposed through its investments.

We also assist organisations in enhancing or supporting their internal audit function to independently evaluate the organisation’s controls, including the identification and evaluation of the key risks impacting the achievement of the investment company’s investment objectives. Our team includes professionals with adequate skills and experience to audit complex financial instruments’ risks.

Case studies

Basel II Subject Matter Expertise;

Credit Risk Model Waiver Application Process;

Credit Risk Model Validation;

Market Risk Diagnostic;

Basel II, Pillar 2 (ICAAP) Pre-Implementation Analysis;

Basel II, Pillar 2 (ICAAP) Pre-Implementation Analysis;

Basel II, Pillar 2 (ICAAP) Pre-Implementation Analysis;

Basel II, Pillar 2 ICAAP Diagnostic and Gap Analysis;

Basel II, Pillar 2 Pre-Implementation Analysis;

Basel II, Pillar 1 Reporting Analysis;

Liquidity Risk Management Capability Diagnostic;

ICAAP diagnostic and gap analysis

Review of Internal Capital Adequacy Assessment Process, including Risk and Capital Strategy, Risk and Capital Policy, and Liquidity Risk Management Framework