Risk Analytics & Model Risk

Risk Analytics & Model Risk

Risk Analytics & Model Risk

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Introduction

Protiviti’s Risk Analytics & Model Risk practice builds, validates, and audits quantitative risk assessment systems, while also assisting client management to understand the value and limitations of their models. The practice also covers Capital Management & Capital Adequacy services. The outcomes are better informed business decisions, improved operational control of the business, and alignment with regulatory requirements.

Protiviti’s independent, holistic, model validation process helps control model risk, prevents losses associated with such risk and enhances key stakeholders' understanding of analyses and decisions based on such models. Models are simplified and idealised representations of the real world and are prone to errors when built or applied incorrectly, hence the issue of Model Risk arises. We help organisations manage their portfolio of Model Risks by assessing, designing and implementing model governance programmes.

Our Services:

Credit, Market, Operational Risk Models

  • Development
  • Independent Validation
  • Implementation
  • Model Audit
  • Risk Rating/Application/Behavioral Scorecards
  • Margin Models

Strategic Decision

  • Capital Planning/Allocation
  • Portfolio Analysis/Asset Optimisation/Benchmarking
  • Risk Diversification/Aggregation
  • Balance Sheet Forecasting
  • Fund Transfer Pricing
  • Asset Liability Management
  • Insurance Liability Valuation

Capital Management and Basel

  • Regulatory Capital Calculation
  • Economic Capital
  • PD/LGD/EAD/Correlation/PFE/EE/CVA
  • Risk Appetite and Model Risk Buffer
  • Loss Forecasting, Impairment & Reserving

Pricing and Valuation Models

  • Capital Planning/Allocation
  • FI/Equity/Derivative/FX/Commodity Pricing
  • Mark-To-Market/Mark-To-Model
  • CMO/ Securitization Waterfall Analysis
  • Greeks: Duration/Convexity/Volatility

Enterprise Risk Management

  • VaR/ EaR / RAROC / EVA Models
  • Stress Testing/Scenario Testing/Back testing
  • Risk Appetite/Model Governance Policy
  • ICAAP

Regulatory Compliance

  • Capital Planning/Allocation
  • Anti-Money Risk Scoring/ Model Validations
  • Transactions Monitoring and Sanctions Screening
  • Conduct Risk Models