Solutions

Operational Risk

EVMTech is a leading provider of operational risk services. Our professionals have been at the forefront of operational risk developments since 1999. We are the No 1 AMA advisor in UK , and enjoy a large client base in North America and Europe. Our research publications have laid the ground for new modeling techniques in development of robust AMA frameworks. Our combined offering of advisory and software enables us to rapidly and efficiency transform the business and regulatory needs of our clients into advanced custom solutions.

Stress Testing

Since financial crisis of 2007, stress testing has become an integral risk management tool both in view of capital and balance sheet management. Our services cover stress testing of market risk, credit risk, and macroeconomic variables. Our market risk stress testing includes equities, spreads, FX, commodities, structured products and hedging positions. The credit risk stress testing covers default and migration probabilities of corporate, retail, and sovereign portfolios.  In addition to stress scenarios, we provide the capability to perform reverse stress tests and impact analysis on the economic balance sheet of our clients.  To meet the needs of our clients we offer advisory and software services that enable efficient development and implementation of advanced and custom solutions needed to comply with CCAR or similar regulatory stress tests.

Capital Management

We advise our clients on a diverse range of issues including economic capital measurement, ICAAP compliance, capital planning and balance sheet management, capital allocation, and performance measurement. We deliver advanced solutions that meet our clients’ custom needs. The combined offering of advisory and software allows delivery of accelerated and cost-efficient solutions that at the same time adhere to best practices in quantitative risk management.

Solvency II, SST Compliance

The Solvency II framework requires the use of economic principles, in particular market-consistent valuation of assets and liabilities, in the calculation of solvency capital. We develop Solvency II frameworks that provide realistic assessment of the risks based on internal models. Our deep industry knowledge and expertise combined with our high-performance actuarial software solutions enable efficient development and deployment of standard and custom solutions.

Key areas of activity:

• Modeling of non-life and life risks
• Modeling of market and credit risks
• Technical provisions and liability patterns
• Portfolio risk aggregation and allocation
• Netting and optimization of reinsurance
• Economic balance sheet modeling

Economic Scenario Generator (ESG)

Our ESG solution Sceneco is a state-of-the-art real-world and risk-neutral scenario generator. Sceneco is a multi-currency ESG including equities, FX, commodities, real-estate, hedge fund indices, bond indices, risk-free yields, spreads, migrations, and macroeconomic variables. Sceneco provides many useful features that accommodate the regulatory and internal management needs of our clients. Sceneco’s real-world and risk-neutral scenarios are used for consistent modeling of asset and liability risks.

Key areas of activity:

• Real-world scenarios for asset valuation
• Volatility surface models for options on equity, FX, and interest rates
• Risk-neutral scenarios for liability valuation

Market-consistent Valuation

Market-consistent valuation of assets and liabilities is at the core of any Solvency II internal capital model. The common approaches to liability valuation are: replicating portfolios, curve fitting, and least squares Monte Carlo. All these methods seek to approximate the sensitivity of the liability values to the underlying risk factors by means of a limited set of observations. These methods are subject to a number of challenges already known in optimization theory, including the choice of appropriate basis functions for the approximation, the choice of optimization criteria, and the treatment of over-fitting in view of generalization power. Our expertise in solving high dimensional optimization problems addresses these challenges by designing robust solutions that provide approximations with improved generalization power compared to standard techniques in use. Our software teams develop high-performance and efficient implementation of these solutions ensuring that clients obtain a comprehensive solution from concept to implementation.

Key areas of activity:

• Generation of consistent real-world and risk-neutral scenarios
• Robust approximation techniques for modeling of life liabilities
• Implementation of high-performance and robust optimization techniques for estimations of nested liability valuations

ICAAP

ICAAP compliance requires an economic assessment of risks and their aggregation. We develop with our clients solutions that model the economic capital requirements of their major risks including operational, credit, and market risks.  By modeling cross-risk dependencies we provide an aggregate view of the overall capital requirement and, through allocation, a diversified view of the capital required for the individual risk types.

Key areas of activity:

• Development of ICAAP-compliant operational risk framework
• Assessment of credit risk inherent in trading positions, ranging from daily exposures to longer-term exposures
• Market risk assessment
• Risk aggregation to estimate ICAAP capital and risk allocation

Economic ALM

Economic ALM refers to a true economic and market-consistent assessment of assets and liabilities. We develop for our clients asset and liability models that apply consistent sets of economic scenarios to assess the inherent risks of their liability and asset portfolios. In addition, our clients can assess the vulnerability of their funds to a set of well defined and custom macroeconomic stress scenarios, and design strategies that allow for minimizing the impact of the stress conditions on their portfolios.