Chappuis Halder & Co
Chappuis Halder Global Research and Analytics expertise centre covers a wide range of interventions on risk management topics and provides clients with solutions that are tailored to their specific needs and risk profiles. Arising from recent regulatory evolutions and from discussions with industry leaders, our white papers focus mainly on risk modelling issues. We cover all types of risks, ranging from credit risk to market risk or operational risk.
We note that risk modelling-focused publications have mostly disappeared from the consulting industry in recent years. In this context, our white papers are aiming to share our ideas broadly, as well as to restore the visibility of risk modelling in our industry.
All content by Chappuis Halder & Co
EAD Parameter: A stochastic way to model the Credit Conversion Factor
This white paper aims at estimating credit risk by modelling the Credit Conversion Factor (CCF) parameter related to the Exposure-at-Default (EAD). It has been decided to perform the estimation thanks to stochastic processes instead of usual statistical methodologies (such as classification…
Model Risk Management | How to measure and quantify model risk?
The intent of this paper is to analyse how model risk management requirements change the banks’ view on their models, especially regarding the quantification of associated risks, and to introduce a new framework methodology.
Cat bonds & Artificial Neural Networks | An example of reinsurance products’ pricing using machine learning methods
This white paper presents a mathematic model allowing to predict the number and the cost of incoming catastrophes. It further explores models that help to price insurance risk transfer products, such as XL contracts or cat bonds.
Fundamental Review of the Trading Book: Impacts & Market Perspectives
This white paper analyses the Fundamental Review of the Trading Book (FRTB), covering its origins, responsibilities and priorities. The paper further identifies how market participants interpret the reform and examines some of the FRTB’s key issues.