Chappuis Halder Global Research and Analytics expertise centre covers a wide array of interventions on Risk Management topics, and provide our clients with solutions that are customized to their specific needs and risk profile. In a changing business and regulatory environment, it is crucial to move forward and adapt our capabilities to our clients' needs. Our publications focus mainly on risk modeling issues, arising from recent regulatory evolutions or from discussions we had with industry leaders and clients. Our publications cover all types of risk, ranging from credit risk to market risk. Through this effort, we want to help restoring the carry and importance of risk modeling publications which disappeared from the consulting industry in recent years.
This white paper analyses the Fundamental Review of the Trading Book (FRTB), covering its origins, responsibilities and priorities. The paper further identifies how market participants interpret the reform and examines some of the FRTB’s key issues.
This white paper will cover the origins of the Risk-Weighted Assets ratio and the history of its use in financial analysis. The paper will further showcase its characteristics and behavioural traits, exemplified through a number of theoretical tests.
Interest Rate Risk In The Banking Book – How to manage IRRBB considering the Monetary Policy and the new regulation
This white paper focuses on understanding how current market conditions (low interest rates) can affect banks’ revenues and profitability. The paper further analyses, via simulations on a real portfolio, the impacts of interest rate moves on the Economic Value of Equity and the Earnings at Risk.
This whitepaper aims to provide clues for optimizing Post-Scoring classification as well as analysing the relationship between the number of classes in a rating scale and the impact on regulatory capital for Low Default Portfolios.
This white paper presents a particular occurrence of this issue on the interest rate market, extends it to commodities, and details some risk management techniques that could have been used in order to avoid losses.
This white paper proposes a methodology that diffuses dynamically the stress on the credit rating scale while considering the performance of the credit score. Consequently, the aim is to more accurately reflect the impact of the stress on the portfolio by taking into account the purity of the score…