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Capital and solvency modelling
Our team has broad, ongoing experience working with banks and insurance companies on all aspects of capital and solvency management. We have been involved from a very early stage in helping Spanish financial companies understand the Basel II rules and in working with them in building models for calculating and managing both regulatory and economic capital. We hope to play a similar role with the introduction of the new Basel III proposals covering capital and liquidity ratios, capital buffers and counterparty risk.

In the insurance sector, the Solvency II regulations are looming on the horizon. These mark a sea change in risk management for insurance companies and we are helping our clients successfully manage this transition. Our long experience in asset pricing and quantitative modeling is particularly valuable here as it complements insurers’ long experience on the liability side.

Our services in this area include design and development of internal models (credit risk, market risk, etc.), ALM models (scenario generation, embedded value, etc.) and software tools, as well as parameter estimation (PD, LGD, etc.) and technical training.
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