Strong quantitative capabilities often are required for the examination of risk models and risk-control mechanisms. This particular consultancy module supports clients in the audit of all five inherent risk classes and their respective sub-risks:
- Market-price risks
- Liquidity risks
- Default risks
- Operational risks
- and Strategic risks
For example: Issues regarding the appropriate method for measuring one of the most important types of risk – credit or default risk – are receiving increased emphasis. This is due, not least, to regulatory banking measures such as Basel III, the German Solvency Regulation (Solvabilitätsverordnung = SolvV), Germany’s “Minimum Requirements for Risk Management” (Mindestanforderungen an das Risikomanagement = MaRisk) as well as significant repercussions from the financial crisis.
Various methods for gauging credit risk – for example, so-called credit metrics, the model developed by Michael B. Gordy from the U.S. Federal Reserve’s board of governors as well as spread models – have evolved as measurement standards.
Course participants acquire an understanding of various practical methods for measuring credit risk both on the basis of counterparties as well as portfolios. Beyond that, participants receive comprehensive insight into methods for estimating risk exposure. In their role as auditors, participants also are capable of entering into in-depth topic-related discussions on equal terms with the units that are to be examined. ARC instructors provide support and training to enable clients to audit risk models in respect to compliance with legal, regulatory and company-focused guidelines. The yardstick for risk-oriented evaluation on which the training team orients itself consists of the respective national regulatory standards and best-practice guidelines applying to the particular branch of business branch in focus.