ADVISORY in
RISK MANAGEMENT
Our experience and expertise at the service of your risk management framework
By the very nature of its activities, the BMA team is constantly exposed to regulatory developments and all issues related to risk management, for all types of funds and financial institutions .
First-hand experience includes a number of CSSF-approved mandates as directors, risk management officers and risk managers.
BMA draws on its experience and expertise in:
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quantitative risk analysis,
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economic and financial analysis,
to provide cutting-edge solutions to its clients in all aspects of valuation, risk management and regulatory requirements related to risk management.
BMA has direct experience in the design and implementation of risk models, in particular VaR models and market stress tests, as well as liquidity and credit risk modeling .
Indeed, BMA has developed DRaX, its proprietary analytical valuation and risk system. This includes dedicated models and measures for all types of financial instruments (equities, fixed income securities, credit instruments and derivatives).
By the very nature of its activities, the BMA team is constantly exposed to regulatory developments and all issues related to risk management, for all types of funds and financial institutions .
Validation of risk models
Training
Governance
Implementation of the Risk Management process
Secondment to Risk Management experts
Validation of market risk and VaR models
BMA carries out independent validations of market risk models used to monitor the overall exposure of funds under management using the VaR/stress-test approach.
We focus on:
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the effective implementation of risk models of management companies,
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validation of the adequacy of VaR calculations to portfolios under management,
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validation of stress test simulations for strategies and instruments in the portfolio,
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verification of compliance with regulatory circulars (AMF General Regulations, CSSF circulars 11/512 and 18/698 in particular)
Our approach combines quantitative and qualitative analysis to provide a comprehensive and detailed review of systems and processes.
In particular, we quantitatively analyze the VaR/Stress-test indicators produced by the Management Company with our own VaR system for samples of representative strategies.
Pricing models for instruments
Simulation of models
Risk modeling/mapping process for listed and OTC instruments
Back-testing
Stress Test Programs
Quantitative comparison
VaR and stress test production process
Risk reports for the board of directors
Validation of quantitative models & design and implementation of the Risk Management process
BMA 's approach is to provide concrete and practical solutions.
To do this, BMA effectively uses its proprietary analytical library, DRaX, which allows us to provide concrete numerical examples, case studies and prototypes where appropriate and possible.
Past project experience includes:
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Validation of several CCP market and counterparty risk models
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Validation of the swaption volatility cube generation and valuation model
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Review , validation and improvement of a CVA and XVA platform, including the treatment of collateral risk
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Development and implementation of liquidity Risk Management frameworks for investment funds
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Development and implementation of regulatory stress testing frameworks for money market funds
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Design and calculation of risks associated with Private Equity funds with complex waterfalls
The BMA team, specialized in quantitative finance and applied mathematics, is perfectly able to deal with any complex subject in quantitative finance, quantitative modeling and Risk Management.
Provision of Risk managers and consultants
The BMA Team provides secondment and hands-on support to its clients’ operational Risk Management teams for the design and implementation of their Risk Management frameworks.
BMA makes Risk Analysts and Risk Managers available to its clients.
BMA’s Risk Managers are involved at every stage of the lifecycle of investment funds and asset management companies (non-exhaustive list):
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Identifying, assessing, and controlling the risks to which investment funds are exposed
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Defining the risk profiles of investment funds
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Establishing specific risk management procedures
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Implementing and conducting new controls
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Developing and deploying Risk Management systems
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Monitoring risk limits, managing and tracking breaches (analysis, communication, resolution follow-up, documentation), and overseeing the escalation process
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Updating and maintaining various control dashboards
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Enhancing reports intended for Risk Management officers, the Executive Committee, and the Board of Directors
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Performing the permanent Risk Management function for asset management companies
Trainings
BMA offers customized trainings to your Risk Management teams, sharing in-depth practical knowledge, Risk Management techniques as well as extensive quantitative techniques, covering all aspects of valuation , risk assessment and simulation techniques.
Dedicated professional training sessions are offered in French or English.
Implementation of liquidity risk management tools
Best practices in Risk Management
Regulatory requirements for
UCITS & AIFMD
