understand and manage micro and macro economic risk - iir conference - jos berkemeijer
TRANSCRIPT
1Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 November 2015
Understand and Manage Micro & Macro-Economic Risk
2
Symetrics
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 November 2015
Jos Berkemeijer, Managing partner at Symetrics
Symetrics was founded in March 2014 after four years of feasibility studies
Our team consists of 12 experts with different backgrounds in econometrics, macro-economics, investments, actuarial and regulatory practice and political and economic-geographical science
Our clients include banks, insurance companies, pension funds, asset managers, regulators, industry associations, international institutions and wealth managers
Symetrics has offices in The Netherlands (Apeldoorn, Breukelen) and a London office
We help our clients to truly understand and manage micro and macro-economic risk
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 3
What we hear from our clients
November 2015
We want to better understand the drivers behind macro-economic risk How to get a handle on the impact of macro-economic risk on the balance sheet? Can we reduce our dependency on crises scenarios
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 4
The problem we solve
November 2015
Full Risk Compliance!
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 5
Holistic approach
November 2015
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 6
What’s different?
November 2015
Traditional Linear Scenario Model Add shocks (excessive) Extrapolation of historical data Mean reversion No crisis, No asset bubbles False sense of safety
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 7
What’s different?
November 2015
Traditional Linear Scenario Model Add shocks (excessive) Extrapolation of historical data Mean reversion No crisis, No asset bubbles False sense of safety
Behavioral Scenario Model Add shocks (realistic) Add behavior rules Add micro-data Crisis, Asset bubbles Realistic risk projection
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 8
Welcome to SyMath
November 2015
Risk Application Platform
Result realistic macro-economic balance sheet risk management
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 9
SyMath applications
November 2015
Risk-based valuation and pricing
Stress testing
ECB Macro (prudential) stress tests
Stress test PD, LGD & EAD model-parameters
Micro and macro-economic risk attribution
Mortgage, loan, credit and derivative portfolios
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 10
Example micro-macro mortgage risk attribution
November 2015
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 11
Worries now that Symetrics enters the market?
November 2015
The financial market is now able to better understand micro and macro-economic risk
YES NO
Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 12
Worries now that Symetrics enters the market?
November 2015
Branch Office
Symetrics B.V.De Corridor 5 C3621 ZA BreukelenThe NetherlandsTel. +31 34 671 5065
Corporate Office
Symetrics B.V.Het Rietveld 55a7321 CT ApeldoornThe NetherlandsTel. +31 55 201 8829W: http://www.symetrics.eu/
London, United Kingdom
Symetrics is a member of London (Canary Warf based) FinTech Incubator Level39
Risk Analytics Platform