Solutions
Delivering solutions fueled with the latest technology and innovation.
Portfolio Modelling Solutions
Key modelling areas are:
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Expected Positive Exposure (EPE) simulation
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Counterparty Valuation Adjustment (CVA) calculation
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Wrong Way Risk analysis
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Statistical based or real world measure (EPE) and risk neutral measure (CVA)
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Concomitant simulation methodologies for FX, Interest rate, Inflation
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Credit and Commodity risk variables (typical simulations project several risk factors per market and generate smile surfaces) for both EPE simulation and CVA calculation
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One/two-sided CSA collateral simulation with peak reduction, dynamic support assumptions and special counterparty treatments (Funds, SPVs …)
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Counterparty limit system design taking into account PFE, roll-off measures, gap risk, liquidity
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Methodologies for market and credit sensitivities
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Enterprise-wide ‘what-if’ design for immediate trade credit risk evaluation
Risk Advisory and Assurance
MP Capital has provided risk advice to investment banks in a number of subject areas
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Basel II and III Expertise
The key advisory area for this subject is:
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Basel II CRD3 and Basel III CRD4 technical and organisational experience and implementation advice on all aspects of Credit, Market and Operational Risk