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Understand and manage micro and macro economic risk - iir conference - jos berkemeijer

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Understand and manage micro and macro-economic risk.
Pitch by Jos Berkemeijer, managing partner at Symetrics, at the IIR Mortgage Congres in the Netherlands. November 2015.

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Understand and manage micro and macro economic risk - iir conference - jos berkemeijer

  1. 1. Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 1November 2015 Understand and Manage Micro&Macro-EconomicRisk
  2. 2. Symetrics Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 2November 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
  3. 3. What we hear from our clients Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 3November 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
  4. 4. The problem we solve Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 4November 2015 Full Risk Compliance!
  5. 5. Holistic approach Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 5November 2015
  6. 6. What’s different? Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 6November 2015 Traditional Linear Scenario Model  Add shocks (excessive)  Extrapolation of historical data  Mean reversion  No crisis, No asset bubbles  False sense of safety
  7. 7. What’s different? Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 7November 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
  8. 8. Welcome to SyMath Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 8November 2015 Risk Application Platform Result realistic macro-economic balance sheet risk management
  9. 9. SyMath applications Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 9November 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
  10. 10. Example micro-macro mortgage risk attribution Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 10November 2015
  11. 11. Worries now that Symetrics enters the market? Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 11November 2015 The financial market is now able to better understand micro and macro-economic risk
  12. 12. Worries now that Symetrics enters the market? Introduction Symetrics - Jos Berkemeijer - IIR Mortgage Week - The Netherlands - Symetrics©2015 12November 2015 Branch Office Symetrics B.V. De Corridor 5 C 3621 ZA Breukelen The Netherlands Tel. +31 34 671 5065 Corporate Office Symetrics B.V. Het Rietveld 55a 7321 CT Apeldoorn The Netherlands Tel. +31 55 201 8829 W: http://www.symetrics.eu/ London, United Kingdom Symetrics is a member of London (Canary Warf based) FinTech Incubator Level39 Risk Analytics Platform
  • berkemeijer

    Nov. 21, 2015

Understand and manage micro and macro-economic risk. Pitch by Jos Berkemeijer, managing partner at Symetrics, at the IIR Mortgage Congres in the Netherlands. November 2015.

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