01P&L Attribution - Cross-sectoral Challenge
In this article, we discuss the challenges of implementing the internal model approach under FRTB and Solvency II. In particular, we focus on the P&L Attribution test, which financial institutions have to continuously perform and pass to maintain their eligibility for internal model use. The article outlines the similarities and differences between the two regulatory regimes that require the P&L Attribution test; FRTB for banks and Solvency II for insurance companies.Read More
02December 2018 News Update
We've summarised the most exciting news in the areas of automated investment advice and balance sheet risk. The large participants of wealth management industry explore the automated financial offerings, driven by the anticipations of double-digit growth of that market until 2023. The opportunities of automation have been contemplated by the UK's DIY investment facilitators and mortgage providers this month. Furthermore, in December the Basel committee published the report analysing and comparing the banks' cyber risk practices; the potential AI applications to accounting are being explored by the experts and the FRTB framework going live may be postponed.Read More
Financial advice is being digitalised and is increasingly provided on an automated basis. Download our summary of the latest developments within this exciting field.Download
The second part of the series exploring the use of Least Squares Monte Carlo in Asset and Liability Management is focused on evaluation of accuracy and performance of this method in comparison to full nested Monte Carlo simulation benchmarks.
In the first part of the ”Asset and Liability Management using LSMC” article series, we outline an ALM framework based on a replicating portfolio approach along with a suitable financial objective. This ALM framework, albeit simplified, is constructed to provide a straightforward replication of the complex interactions between assets and liabilities. Moreover, a brief introduction to the LSMC method used to generate all underlying risk factors is presented.
In continuation of our discussion of cyber risk, this paper investigates the issues of cyber risk management within financial industry. In particular, we look into the process of determining the optimal size of the investments in cyber security as well as the quantification of the appropriate cyber insurance premiums.
In continuation of our discussion of cyber risk, this article reviews different methods and models, which can be used to analyse and quantify the risks of information security breaches faced by the contemporary financial industry.
What we do
We improve decision making under uncertainty
Our work empowers millions of people to make, or benefit from, informed financial decisions under uncertainty. Asset liability management, capital requirements and automated financial advice - everything we do helps support our vision that everyone should have access to world class risk management tools.