Risk Consulting

Client

Investment bank and prime broker

Location

UK and US

Client need

The client had embarked upon a major project to reorganise its collateral management function to create a central collateral utility to provide cross product reporting, netting and margining. This project had major systems, process, business and risk management implications. The project also involved the upgrade of the client’s collateral management system.

The client required subject matter expertise to work alongside more generalist project managers to assess the impact of the change on the business and assist in the management of the project. Project management and business analysis resources were also required for the upgrade of the collateral management system.

Our role

We provided a senior project manager and business analysts with expertise in collateral management.

Client

Financial markets division of major retail and commercial bank

Region

UK

Client need

The client wished to upgrade its credit risk management system for its dealing room business. The client needed advice in respect of the required functionality and whether it should buy a vendor solution or build in-house.

Our deliverables

We initially produced a high level functional requirements document and a roadmap for how this would be delivered over the coming years. This involved helping the client to clarify its policy and methodology in a number of areas.

We produced a business case for the system which included an analysis of the build or buy options.

We identified a shortlist of potential vendors that would meet the client’s requirements and, in conjunction with the client, produced the questionnaire for the Request for Proposal and scored the responses submitted by the vendor.

We performed business analysis in relation to the implementation of the first phase of the system and wrote the functional requirements specification.

We also provided systems development and business analysis for a number of tactical systems initiatives.

Client

Pension fund manager

Region

Benelux

Client need

The client had decided to upgrade its risk management capabilities and was in the process of building a risk management department. The client had produced a draft risk management policy but wished to have this reviewed to ensure compliance with best market practice.

Our deliverables

Having held a series of meetings with senior client employees to ensure we fully understood the business, we reviewed the policy to identify areas of policy and procedures which could be improved and where the client fell short of best market practice. The scope included all areas of the fund manager’s risk practices including market risk, liquidity risk, tracking error and compliance with investment mandates.

Our findings were detailed in a report which was presented to management.

Client

Wholesale bank

Region

UK and Benelux

Client need

The client was embarking on improvements to its credit risk measurement and country risk policies. For credit risk measurement, the policy needed to be updated to take account of the move to more advanced methodologies for the measurement of potential future exposure such as Monte Carlo simulation. For country risk, the policy needed to better measure the likely effect on the bank’s trading exposures of a country event.

Our deliverables

We drafted the policies, working in close collaboration with client staff.

Client

Hedge fund manager

Location

UK

Client need

The client had recently expanded its trading volumes and had started to enter into more complex products. The client wanted to upgrade its risk management practices to take account of the additional risks being undertaken and to ensure compliance with best practice.

Our deliverables

We reviewed the fund manager’s risk practices and identified areas of weakness. We advised the fund manager on the appropriate risk governance and policies that should be put in place. We then worked with the fund manager to develop a suite of reports and stress tests to be delivered from its recently implemented portfolio and risk management system.

Client type

Private bank/asset manager

Region

Asia

Client need

The client wanted to be able to perform stress tests on its security portfolios to ascertain areas of excessive concentration.

Our deliverables

We developed a stress testing model which took into account asset correlations and liquidity. We also calculated appropriate stress parameters to be input into the model.