Providing analysis for making informed financial decisions across the financial institutions and corporates sectors
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Sample projects
Illiquid Credit Modelling
Assisting clients in model development and validation in terms of major model change and Solvency 2 projects involving among other:
the derivation of the transition and default matrix.
the implementation of the illiquid credit model.
the investigation of alternative modelling methodologies.
the documentation of the proposed models in a regulatory compliant format.
Model Validation
Assisting clients in model validation across property, credit (including fundamental spread), inflation and interest rates including:
implementation of first line solutions in alternative software development platform.
development of alternative modeling methodologies.
documentation of the work performed that is compliant to regulatory documentation standards.
Hedging Interest Rate Guarantees
Legacy life books typically contain minimum interest rate guarantees. In a low interest rate environment the management of these liabilities entails a number of challenges such as:
What is the optimal asset allocation in terms of shortfall risk for meeting the guarantees?
When to transact tactical interest rate derivative hedges?
What structured derivatives can help alleviate expected shortfall?
Solvency 2/Individual Capital Assessment challenges
Assisting clients in the implementation of internal models for risk management and ICA purposes by resolving challenges such as:
Is it best to fit asset returns to parametric or non parametric distributions?
How many independent factors affect the risk profile across rates, equities, property, fx, commodities and alternatives?
How to reconcile implied and historical volatility inputs?
What tenors to use for correlation estimates?
Is always the development of a complicated model an optimal solution?
Minimising Regulatory Capital Charge for Interest Rate Risk
Regulatory capital requirements for ALM mismatches regarding interest rate risk can be onerous. Insurers face a number of challenges such as:
What are the optimal derivative securities that can match the interest rate risk efficiently?
When to pay for options and when to execute zero cost structures?
How to optimise strike, time to expiry and derivatives' notional?
When hedging and when capital raising provides the best alternative?
For answers to the above questions please contact us.
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