DynaFin Consulting
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Financial Risk Management - DynaFin ConsultingRisk Management

Risk management has never been more essential in the financial sector. By supporting risk management teams in this constantly evolving environment, Dynafin develops responses with its clients with regard to regulatory obligations and financial risks needs. This way, our consultants help our clients to face and anticipate the regulatory changes and improve the quality and efficiency of the risk management systems, processes and methods.

Your Challenges

With our team of risk experts, we support our client to identify and manage their specific risk.
We do not only work with systems and processes but also increase risk awareness in your teams.
Increased Regulatory Pressure

Regulators more demanding in term of risk/model reporting (frequency and granularity) Trimestral Review of Internal Model (TRIM) Contribution required to ISDA Put pressure on resources to implement own risk management strategies

Cost of capital reduction

Capital Allocation becomes critical due to its high total cost
Trade-off between internal (costly) and standard approach for capitalisation
Regulator tendancy to promote Standard approaches

Data Volume, Quality & Accessibility

Replication of data in various systems with potential deterioration and associated cost
Calculation/simulation capacity increasing constantly
Cope with ever more demanding users impacting heavily the data services
Capitalize and value data in the organization

Cost Reduction

Off/Near-shoring on-going in all banks
Need to document process and train collaborators

Our Solution

Based on our experience in similar projects and our knowledge in Risk Management DynaFin has developed a dedicated offer to guide Financial Institutions through their Risk Journey.

 

Want to know more ?

Some Credentials

1. MIGRATION OF FORTIS SYSTEMS TO BNPP SYSTEMS

  • Initial situation (6 consultants in different departments – Business analysts – Project Manager and Program Manager)
    • Following the takeover of Fortis by BNPP, it was necessary for Fortis to migrate to the BNPP systems for Front Office, P&L, Back Office and Risk
    • Representations of Fortis deals which had been migrated to BNPP systems required validation
    Tasks
    • Implementing new systems while keeping on running the business
    • Switching traders to BNPP risk tools.
    • Validation of BNPP representation of trades migrated from Fortis systems
    Actions
    • As-is / To-be analysis, Gap analysis in a framework of market risk management, P&L of the dealing room, Front / Back office applications, finance and accounting applications
    • Analysis and implementation of BGAAP and IFRS rules in BNPP finance systems (IAS 39 – amortized cost methodology)
    • Validation of BNPP VaR methodology vs Fortis VaR methodology for local regulator
    • Defining migration strategies for bonds, ABS, IRD, certificates, FX products depending on IFRS classifications (HTM, Trading, AFS,…)
    • Projects follow-up and reporting to Management of the bank
    • Methodology devised & implemented to validate deals based on PV matching
    • Team management of 6 BA/developers to customise BNPP risk viewers for Fortis traders
    Result
    • Positions are all migrated in BNPP systems
    • BNPP systems are running now in BNPP Fortis environment
    • BNPP risk methodologies and financial reporting are compliant with local regulator rules
    • Traders using 100% BNPP tools
    • Fortis Front Office tools are now decommissioned

2. CALIBRATION

  • Market VaR Calibration
    Initial situation

    The Calibration team is a Risk Systems team in charge of the regular review of the parameters used in the market and counterparty Risk calculation processes (MRX, ValRisk and Risk Navigator).

    Tasks
    • Monthly market risk (VaR) calibration.
    • Quarterly review of the different Stressed periods used either for Stressed VaR or Stressed EEPE (impact assessment).
    • Quarterly counterparty risk (PFE) calibration.
    • Yearly counterparty norms calibration.
    Actions
    • Perform the regular review and update of the statistical parameters used by the market and counterparty risk systems in order to reflect market evolutions.
    • Assess the impact of the parameters review on the business.
    • Extend the calibration process with new risk factors and risk methodology updates.
    • Fulfil all regulatory and economic requirements related to calibration.
    • Optimise process automation and flexibility.
    Result
    • All asset classes time series calibrated on monthly basis for the market VaR
    • Counterparty EPEE time series quarterly calibrated (volatility term structures)
    • Regular production of reports to assess the Impact in term of VaR/capital by asset class/ market data of the new calibration

3. RISK BACKTESTING AND PNL EXPLAIN

Market VaR backtesting
Initial situation :

In the context of an ever-strengthening requirement for robust risk model, banks are asked to backtest their market VaR at many more levels of their activities and through different tests/PnLs than before.

In order to do so, the market risk application needs to have the various PnLs available and have appropriate functionalities to perform backtesting rapidly and accurately

Tasks (Project)
  • Implement proper workflows between different Finance/PnL platforms and the market risk application
  • Specify adapted functionalities/views to perform backtesting in an industrialized way (almost 100 backtesting performed every day)
Actions
  • Specify risk PnL needs to provider
  • Specify functionalities to risk dev team
  • Implement appropriate controls within risk
  • Integrated various PnLs into the market risk application (Economic PnL, PnL explain produced in Step revaluation, produced on risk sensitivities used by the Front or by the VaR,…)
  • Develop control toolbox for risk operator to manage the entire workflow
Result
  • Fully integrated framework to perform an industrialized backtesting.
  • Functionalities to assess model weaknesses (Taylor approximation, missing risk factor in VaR,…)
  • Quality figures delivered to users