Prudential and Risk Management Consulting Services

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With the regulator stepping up the intensity of supervision, firms’ internal capital and risk management frameworks are facing increased scrutiny. The ability of senior management to demonstrate the firm’s resilience through sound risk management practices remains a key priority for the regulator.

Our experienced team comprises professionals from risk management, valuation, advisory and regulator backgrounds with deep expertise of prudential regulation and risk management.

We work with investment firms and credit institutions in the UK and Europe, including those subject to GENPRU/BIPRU or CRDIV as either IFPRU or CRR firms, to deliver prudential and risk consulting services in a broad range of areas.

We also assist regulated financial institutions in the US with enterprise and capital risk management requirements.

How Duff & Phelps can help

Our areas of expertise include:

  • Risk management frameworks: assisting with or reviewing the firm’s arrangements in relation to the identification, quantification, reporting and management of all types of risk.
  • Risk governance: reviewing and benchmarking current governance arrangements in relation to risk and prudential matters and advising on best practice.
  • Financial risk modelling: building and validating financial risk models and their governance.
  • Capital adequacy: reviewing and advising on all aspects of the firm’s ICAAP, including capital planning, and assisting with preparation for a SREP visit; assisting with negotiations with the regulator on matters such as ICG and capital planning buffers.
  • Liquidity adequacy: reviewing and advising on all aspects of the firm’s ILAA (for ILAS and non-ILAS firms).
  • Stress testing: developing and refining scenarios.
  • Recovery and resolution: reviewing the firm’s recovery and resolution plans and assisting with approach and analysis.
  • Consolidated supervision: advising on the structure of consolidation groups and the regulatory implications.
  • Regulatory reporting: assisting with the preparation of COREP, FINREP and other regulatory returns or undertaking an independent review of the firm’s regulatory reporting arrangements.

We have a library of best in class risk analytic tools to assist with market and credit risk management. For example, we can assist with:

  • Computation and valuation of VaR and ETL for client portfolios
  • Estimation of PD, LGD and EAD for all categories of asset types
  • Computation of PFE and EPE for portfolios of financial assets
  • Valuation of KVA and CVA charge and sensitivities on portfolios of derivatives and complex assets
  • Hedging strategies for CVA and DVA
  • Calculation and reporting of “greeks”
  • Back testing of models

Our services:

  • Health check: Undertaking a high level gap analysis of your current capital and enterprise risk management arrangements against regulatory expectations and industry best practice.
  • Review and recommend: Undertaking independent bespoke reviews of your current arrangements against regulatory expectations and industry best practice to identify opportunities for improvements to processes, procedures and controls.
  • Skilled Person: Acting as Skilled Person with respect of prudential arrangements in line with  Section 166 requirement notices or supporting a firm through the section 166 process
  • Assurance: Providing assurance on the effectiveness of the design and operation of risk related controls.
  • Change management: Designing, managing and implementing change programs.
  • Remediation: Developing and assisting with the implementation of remediation plans to address supervisory concerns.
  • Policies and framework: Reviewing or documenting policies, procedures and controls.
  • Training: Providing tailored training and workshops to key staff.
  • Compliance monitoring and internal audit: Designing, implementing and/or reviewing internal monitoring arrangements in relation to capital and enterprise risk management.
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