Risk Models Advisory

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Market Risk

• Pillar 1
  • RWA-Market Risk
    • Internal Approach
      • VaR/sVaR
      • IRC/CRM
      • RNIV
      • FRTB-IMA-ES
      • FRTB-IMA-DRC
      • FRTB-IMA-NMRF
      • IMA-CVA VaR
      • FRTB-IMA-CVA
    • Standardised Approach
      • FRTB-SA (including DRC)
      • FRTB-BA-CVA, FRTB-SA-CVA
  • RWA-Credit Risk
    • FIRB/AIRB-EAD
      • IMM
      • SA-CCR
  • Leverage Ratio
  • Liquidity Coverage Ratio
• Pillar 2
  • Stress-testing
    • Stressed curves/vol surfaces building methods
  • Economic Capital
  • IRRBB
    • Behavioural models on assets/liabilities
    • Yield curve models
    • CSRBB
• Leverage Ratio
• LCR

Regulations

• Basel 4 : SA-FRTB, IMA-FRTB
• FRTB-IMA-CVA, FRTB-SA-CVA, FRTB-BA-CVA, Standardized CVA risk Capital Charge
• AIRB/FIRB-EAD (IMM, SA-CCR)
• Basel 2.5, 3
• CCAR GMS
• IRRBB
• EMIR (e.g. SIMM)