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Novarum Risk Management uses a base line model to evaluate CCR management procedures, processes and policies against industry best practice. Reviews are completed by a Senior Manager on-site through individual interviews and group discussion. Engagements cover:
- The measurement and reporting of EPE; CVA under GAAP and IAS accounting rules; and counterparty RWA under the Basel II Capital Accords;
- The attribution of CVA and allocation of counterparty RWA and associated regulatory capital charges;
- The approval and monitoring of CCR using Peak EPE limits. The management of CVA volatility using VaR limits. The allocation of regulatory balance sheet through RWA limits; and
- The integration of CCR hedging into the determination of EPE, CVA, and RWA. The establishment of risk priorities through limit hierarchies and the implementation of an effective corporate governance.
Based upon the results of these reviews, customers receive detailed project plans and follow-up engagements.
Clients of Novarum Risk Management not only include OTC derivative dealers, but also general management consulting firms looking to enhance their understanding of CCR and software companies developing new CCR and EPE applications.
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