Asset management
Consulting & Strategic Deployment / Risk Management & Regulatory Developments
Implementation of a standardized validation method & Valuation model review
Approach & Implementation:
- Identification and formalization of regulatory constraints (AIFM Directive, AMF instructions 2008-06 and 2012-01)
- Formalization of the model validation
- Application of the method to a pilot instrument
- Update of the valuation policy
Study of the impacts of the Solvency II Directive & Implementation of SCR market calculations
Approach & Implementation:
- Impact study of pillars 1 and 3 of the Solvency II Directive
- Implementation of the market SCR functions in the information system
- Restitution of the market SCR functions in the PASS insurance platform
Audit & Optimization of the reporting system
Approach & Implementation:
- Implementation of several reports: performance report, asset allocation report, contribution report in relation to a risk factor (cash exposure, sensitivity, duration, delta…), performance attribution, calculation of ex-post risk indicators
- Mapping of source data on all the sources/systems of the company
- Creation of a data dictionary with “target” data proposals
- Specification of calculations useful for reporting using the data in the dictionary (including formulas for calculating exposure for each asset)
- Formulation of various proposals: simplification of the data source method and cost, optimization of the processing of accounting position inventory data, OTC analytics data, implementation of reporting models on a case-by-case basis
