Our mission is to assist our clients in choosing and implementing the best solutions for measuring, reporting and managing credit and operational risk.
Our clients are active in the financial services industry. The type of projects and missions we are carrying out cover the full spectrum of activities ranging from building data foundations to active portfolio management.
Generally speaking, the basis for a robust credit risk management framework starts with good quality data describing credit exposures and the set-up of Probability of Default, Loss Given Default and correlation models.
The way through active credit portfolio management includes the following components:
- Instrument valuation: Mark-to-Market, Mark-to-Model, Potential Future Exposure
- Credit measurement: netting, credit limits and policies, Exposure-at-Default
- Risk computation: regulatory capital, economic capital involving additionally stress testing, concentration and portfolio analysis
Similarly, an operational risk framework needs to be based on carefully constructed data (from internal as well as external sources) and requires the development of operational risk indicators in order to effectively measure, monitor and manage operational risk.
