The Financial Risk Management team provides advisory services to banks and financial institutions on the qualitative aspects of risk management. Our agenda is focused on financial risks (market risk, credit risk) as well as non-financial risk (operational risks) which ultimately impact the capital and liquidity situation of a bank. We provide our services in the CEE and selected Eurasia countries in close cooperation with local PwC offices.
Generally, our projects involve benchmarking to “leading market practice” for the given area, using our know-how from the bank environment as well as associated regulations (including the latest regulatory trends, e.g. the ESG). We identify improvement opportunities of current risk management processes and design appropriate solutions. Our typical client is a Risk Management team, but we also provide support to Treasury or Internal Audit teams.
Furthermore, our team focuses on credit risk control processes within the Asset Quality Review (under ECB). Being the Centre of Excellence for AQR within PwC EMEA, we have successfully realised projects in the CEE region, the euro area, but also in Mongolia or Kazakhstan.
The topics we cover include:
ECB Asset Quality Review including AQR preparation projects
Data integrity validation
Capital management
Liquidity management
Market risk management
Credit risk management
Operational risk management
Risk management culture including Risk Governance (Risk Appetite Framework)
Governance setting for data aggregation and reporting (in risk management processes)
Resolution and Recovery Planning
The Financial Risk Modelling team helps financial institutions to efficiently find their bearings in the area of quantitative risk management. We aim to provide our clients with high-quality services and solutions through our qualified professionals. Our consultants are experienced in the area of development, validation or audit of a wide range of market and credit risk models.
Our extraordinary technical equipment allows us to expand the scope of our provided services beyond the framework of development and validation of common models even to the area of big data analysis, AI models or development of tailor-made quantitative software. The tools we commonly use include SAS, Python, R, SQL, and others.
Our services:
In the following areas:
Credit quality scoring, risk-based pricing, loan provision strategy
NPL and collection process
Allowances according to IFRS 9 / US GAAP
IRB-A / IRB-F models according to CRR
CCAR/DFAST models
- Valuation of complex derivatives
Risk Management & Modelling