Risk and regulation
We provide support to the Finance and Risk Departments of banking groups, either on a contract basis or through a service center. We work in the following areas : Project Management (Project Manager, PMO Project Director), Project Management, Functional Expertise, Business Assistance, Quantitative Engineering.
BANKING RISKS
- Market risks (VAR, ST, …)
- Credit risks / counterparty (CVAR… PD, LGD..)
- Financial risks (Liquidity,….)
- Operational risks
Regulations on the regulation of risks and banking activities
- Basel
- FRTB/ EEPE
- BCBS (Data Quality)
- Third-party repositories and securities
- Mifid
Banking finance
- Accounting Standards (IFRS)
- Regulatory reporting (COREP, FINREP, LCR, NSFR, RWA)
- Risk-counting reconciliation
Control and Compliance
- Anti-money laundering
- Fight against fraud
- Financing of terrorism
- Monitoring of market operations
Some achievements...
Project Management
As part of the Internal Model project Internal Model Certification Method for the Calculation of Regulatory Capital Related to Market Counterparty Risk (RWA & RWA CVA)
- Value Map, i.e. the calculation of the sensitivities of exposures to risk factors (all asset classes) whose main objectives are to:
- Map the counterparty risks of the portfolio for the purpose of analyzing exposures and their potential evolutions
- Producing sensitivities of AVC/AVD to risk factors
- Complete the Stress-Testing system
- Wrong Way Risk
- Definition and implementation of the methodology for the liquidity of the assets held by the bank on the portfolio of repo and loans/borrowings on securities
MOA with Functional Expertise
Project: reliability of the customer’s guarantee chain following post-AQR recommendations
- Ensure an increase in the amount that can be mobilized of the guarantee in order to have at all times an indicator of credit coverage (including an audit trail of individual provisioning):
- Collection of the need from the business: definition of the amount that can be mobilized of the guarantee over the life cycle of the credit, realization of a study of the existing with the communities
- Mapping of the rise of guarantees from local applications (Banques Populaires and Caisses d’Epargnes) to central databases
- Drafting of expressions of need (recommendations to raise the amount that can be mobilized of the guarantee)
- Monitoring of the work to make the guarantees raised by the communities more reliable: implementation of the types of fine guarantees, reassignments of types of guarantees, etc.
Quantitative risk engineering
Project: Stress EBA 2016 and the stress contribution to the SREP 2016 exercise, on the decree of 31/12/2015 The project consists of producing, according to the defined scenarios (EBA / SREP), the credit risk impacts on the bank’s portfolio. This includes the methods used, the parameters, as well as the results.
- Support the Credit team in the development and updating (recalibration) of various quantitative models used to link stressed economic and financial variables to Basel parameters (migrations, PD, LGD)
- Produce the corresponding SAS programs
- Document models and programs
- Help the Credit Stress team to set up and verify the impact settings given to the calculation teams (impacts on the current portfolio)
