Risk
Management
Mindwell's Risk Management practice helps clients define work
processes and implement system support for consolidated risk
management. This includes a wide spectrum of consulting areas,
including:
Sensitivity analysis
We help you ensure valuation consistency and implement reports
for consolidated reporting of standard and product specific
sensitivity measures.
Scenario analysis
Applying extraordinary historical or fictuous market
events (shocks) on the current portfolio composition is a common
risk management approach. This can provide additional
information about potential extreme loss and how the portfolio
performs under simultaneous breakdown of multiple risk factors
that is not normally covered by the statistical assumptions
about risk factor behaviour. We help you configure scenario
definitions and implement scenario reports across all asset
classes in your portfolio.
Monte Carlo Simulation
We take you through the entire process of
constructing relevant Monte Carlo scenarios and configure the
system process for both Credit and Market Risk simulation. This
includes a number of aspects such as:
 |
Definition of the risk
factor space and dimensionality |
|
|
Generation of correlations
and volatilities from time series data |
|
|
Generation of pseudo or
quasi random scenarios |
|
|
Approximation techniques
(delta/gamma) |
|
|
Variance reduction through
principal component analysis (PCA) and application of quasi
random scenarios, such as Sobol sequences |
|
|
Calibration strategies for
advanced analytics during the simulation process |
|
|
Post-processing of
simulation data for drill-down and risk attribution. |
|
|
Counterparty Exposure
simulation (Potential and Expected Future Exposure)
|
|
