Weitere Ă€hnliche Inhalte Ăhnlich wie Understand and manage micro and macro economic risk - iir conference - jos berkemeijer (20) Mehr von Jos Berkemeijer (20) KĂŒrzlich hochgeladen (20) Understand and manage micro and macro economic risk - iir conference - jos berkemeijer 1. Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 1November 2015
Understand and Manage
Micro&Macro-EconomicRisk
2. Symetrics
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 2November 2015
ïŒ Jos Berkemeijer, Managing partner at Symetrics
ïŒ Symetrics was founded in March 2014 after four years of feasibility studies
ïŒ Our team consists of 12 experts with different backgrounds in
econometrics, macro-economics, investments, actuarial and regulatory
practice and political and economic-geographical science
ïŒ Our clients include banks, insurance companies, pension funds, asset
managers, regulators, industry associations, international institutions and
wealth managers
ïŒ Symetrics has offices in The Netherlands (Apeldoorn, Breukelen) and a
London office
ïŒ We help our clients to truly understand and manage micro and macro-
economic risk
3. What we hear from our clients
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 3November 2015
ïŒ We want to better understand the drivers behind macro-economic risk
ïŒ How to get a handle on the impact of macro-economic risk on the balance sheet?
ïŒ Can we reduce our dependency on crises scenarios
4. The problem we solve
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 4November 2015
Full Risk Compliance!
6. Whatâs different?
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 6November 2015
Traditional Linear Scenario Model
ï» Add shocks (excessive)
ï» Extrapolation of historical data
ï» Mean reversion
ï» No crisis, No asset bubbles
ï» False sense of safety
7. Whatâs different?
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 7November 2015
Traditional Linear Scenario Model
ï» Add shocks (excessive)
ï» Extrapolation of historical data
ï» Mean reversion
ï» No crisis, No asset bubbles
ï» False sense of safety
Behavioral Scenario Model
ïŒ Add shocks (realistic)
ïŒ Add behavior rules
ïŒ Add micro-data
ïŒ Crisis, Asset bubbles
ïŒ Realistic risk projection
8. Welcome to SyMath
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 8November 2015
Risk Application Platform
Result realistic macro-economic
balance sheet risk management
9. SyMath applications
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 9November 2015
ïŒ Risk-based valuation and pricing
ïŒ Stress testing
ïŒ ECB Macro (prudential) stress tests
ïŒ Stress test PD, LGD & EAD model-parameters
ïŒ Micro and macro-economic risk attribution
ïŒ Mortgage, loan, credit and derivative portfolios
10. Example micro-macro mortgage risk attribution
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 10November 2015
11. Worries now that Symetrics enters the market?
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 11November 2015
The financial market is now able to better
understand micro and macro-economic risk
12. Worries now that Symetrics enters the market?
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 12November 2015
Branch Office
Symetrics B.V.
De Corridor 5 C
3621 ZA Breukelen
The Netherlands
Tel. +31 34 671 5065
Corporate Office
Symetrics B.V.
Het Rietveld 55a
7321 CT Apeldoorn
The Netherlands
Tel. +31 55 201 8829
W: http://www.symetrics.eu/
London, United Kingdom
Symetrics is a member of
London (Canary Warf based)
FinTech Incubator Level39
Risk Analytics Platform
Hinweis der Redaktion Unfortunately: Regulatory Risk Compliance has been redefined.
Just âRisk Compliantâ is just not enough
We have to include macro-economic risk in our models Symetrics connects macro-economic and geopolitical risks with âregulatory riskââ Linear Scenario Model: False sense of safety
Behavioral rules: central bank & consumer ; ECB Inflation targeter
Result: Realistic risk projection
Risk-based valuation and pricing
Micro and macro-economic risk attribution
Stress testing
ECB Macro (prudential) stress tests
Stress test PD, LGD & EAD model-parameters
Mortgage, loan, credit and derivative portfolios
Risk-based valuation and pricing
Micro and macro-economic risk attribution
Stress testing
ECB Macro (prudential) stress tests
Stress test PD, LGD & EAD model-parameters
Mortgage, loan, credit and derivative portfolios