Understand and manage micro and macro-economic risk.
Pitch by Jos Berkemeijer, managing partner at Symetrics, at the IIR Mortgage Congres in the Netherlands. November 2015.
Unfortunately: Regulatory Risk Compliance has been redefined.
Just ‘Risk Compliant’ is just not enough
We have to include macro-economic risk in our models
Symetrics connects macro-economic and geopolitical risks with ‘regulatory risk’’
Linear Scenario Model: False sense of safety
Behavioral rules: central bank & consumer ; ECB Inflation targeter
Result: Realistic risk projection
Risk-based valuation and pricing
Micro and macro-economic risk attribution
Stress testing
ECB Macro (prudential) stress tests
Stress test PD, LGD & EAD model-parameters
Mortgage, loan, credit and derivative portfolios
Risk-based valuation and pricing
Micro and macro-economic risk attribution
Stress testing
ECB Macro (prudential) stress tests
Stress test PD, LGD & EAD model-parameters
Mortgage, loan, credit and derivative portfolios