Consulting in risk management
The new banking regulation (Basel II) but also a better internal management of bank capital has emphasized the risk management function in financial institutions. The issues that banks have to address are the following :
- Which quantitative models use to measure market risk, credit risk and operational risk ? How to value the dependence among these risks ? What are the new risks generated by these models ?
- What are the most appropriate techniques to compute the value at risk (VaR) of a market position and to implement a stress testing program ?
- Quantitative models to measure market risk, credit risk, operational risk and interest rate risk
- Study of model risk
- Independent audit of models
- Methods to compute value at risk (VaR)
- Methods to compute stress values
- Implementation of stress testing program