Chappuis Halder Global Research and Analytics expertise centre covers a wide range of interventions on risk management topics and provides clients with solutions that are tailored to their specific needs and risk profiles. Arising from recent regulatory evolutions and from discussions with industry leaders, our white papers focus mainly on risk modelling issues. We cover all types of risks, ranging from credit risk to market risk or operational risk.
We note that risk modelling-focused publications have mostly disappeared from the consulting industry in recent years. In this context, our white papers are aiming to share our ideas broadly, as well as to restore the visibility of risk modelling in our industry.
The intent of this paper is to analyse how model risk management requirements change the banks’ view on their models, especially regarding the quantification of associated risks, and to introduce a new framework methodology.
This paper introduces a different recovery forecasting methodology for LGD (loss given default) parameter and explores stochastic forecasting with details of how to calibrate the model.
This white paper aims at presenting the latest developments in the field of ES back-testing methodologies and introducing new methodologies developed by the Global Research & Analytics (GRA) team of Chappuis Halder & Co.
Cat bonds & Artificial Neural Networks | An example of reinsurance products’ pricing using machine learning methods
This white paper presents a mathematic model allowing to predict the number and the cost of incoming catastrophes. It further explores models that help to price insurance risk transfer products, such as XL contracts or cat bonds.
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…