Modern Advisory

for

Financial Institutions of the Future

Functional support

Iason consultants can grant support Institutions with their experience on different systems and technical platforms; starting from the definition and design of:

  • standard reporting and its customization for the Risk Management department with up to date credit and financial risk metrics,
  • reporting on Economic Capital associated to credit and market risk, including scenario based analysis e stress testing
  • definition and assessment of stress scenarios, in particular those involved in regulatory stress testing

The mixed team of Iason’ resources has acquired experience on different systems and technical platforms including:

  • Murex
  • Kondor+
  • Sophis
  • Algorithmics
  • Numerix

Methodology

With a mix of advance methodologies and long run experties, Iason can estimates complex models for any financial product, targeting interest rate or credit risk. Paralelly it can validate those existing in the bank, using tools ranging from Binomial analysis to Replica portfolio and Copula.

In particular Iason ha developed and validated:

  • models for interest rate, credit, stock and FX pricing;
  • behavioural models for the banking book: sight depo, credit lines, and prepayments;
  • satellite models involved in the stress testing or balance sheet simulation and in the estimate of risk indicators along a term structure

Solutions

Iason has developed several solutions to the needs  of Financial Institutions, based on its working expertise and proven methodological knowledge.

In spite of the advanced methodology included in the solutions, the technological framework is kept simple to focus on the analysis, while powerful engines, build within efficient libraries, do the ‘number crunching’.

The solutions are meant to support relevant Risk Management and Planning needs, from Stress Testing to ICAAP, with the support of different Satellite models, and from Planning to RAF definition and monitoring.

Specific calculation engines, used for heavy duty tasks like VaR, CCR, etc., are usually build through efficient libraries, engineered in modern programming languages (C, C++, Java, etc.), and can be integrated in the most common risk management systems like Calypso, Murex, Algorithmics, Sophis, etc.