Understand and Manage Micro & Macro-Economic Risk
November 2015
Introduction Symetrics
- Jos Berkemeijer -
IIR Mortgage Week
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The Netherlands
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SymetricsŠ2015
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Symetrics 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 macroeconomic risk November 2015
Introduction Symetrics
- Jos Berkemeijer -
IIR Mortgage Week
-
The Netherlands
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Symetrics©2015
2
What we hear from our clients
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 November 2015
Introduction Symetrics
- Jos Berkemeijer -
IIR Mortgage Week
-
The Netherlands
-
Symetrics©2015
3
The problem we solve
Full Risk Compliance! November 2015
Introduction Symetrics
- Jos Berkemeijer -
IIR Mortgage Week
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The Netherlands
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SymetricsŠ2015
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Holistic approach
November 2015
Introduction Symetrics
- Jos Berkemeijer -
IIR Mortgage Week
-
The Netherlands
-
SymetricsŠ2015
5
What’s different? Traditional Linear Scenario Model Add shocks (excessive) Extrapolation of historical data Mean reversion No crisis, No asset bubbles False sense of safety
November 2015
Introduction Symetrics
- Jos Berkemeijer -
IIR Mortgage Week
-
The Netherlands
-
Symetrics©2015
6
What’s different? 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
November 2015
Introduction Symetrics
- Jos Berkemeijer -
IIR Mortgage Week
-
The Netherlands
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Symetrics©2015
7
Welcome to SyMath
Risk Application Platform
realistic macro-economic balance sheet risk management
Result November 2015
Introduction Symetrics
- Jos Berkemeijer -
IIR Mortgage Week
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The Netherlands
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SymetricsŠ2015
8
SyMath applications 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
November 2015
Introduction Symetrics
- Jos Berkemeijer -
IIR Mortgage Week
-
The Netherlands
-
Symetrics©2015
9
Example micro-macro mortgage risk attribution
November 2015
Introduction Symetrics
- Jos Berkemeijer -
IIR Mortgage Week
-
The Netherlands
-
SymetricsŠ2015
10
Worries now that Symetrics enters the market?
YES NO The financial market is now able to better understand micro and macro-economic risk
November 2015
Introduction Symetrics
- Jos Berkemeijer -
IIR Mortgage Week
-
The Netherlands
-
Symetrics©2015
11
Worries now that Symetrics enters the market?
Risk Analytics Platform Corporate Office
Branch Office
London, United Kingdom
Symetrics B.V. Het Rietveld 55a 7321 CT Apeldoorn The Netherlands Tel. +31 55 201 8829 W: http://www.symetrics.eu/
Symetrics B.V. De Corridor 5 C 3621 ZA Breukelen The Netherlands Tel. +31 34 671 5065
Symetrics is a member of London (Canary Warf based) FinTech Incubator Level39
November 2015
Introduction Symetrics
- Jos Berkemeijer -
IIR Mortgage Week
-
The Netherlands
-
SymetricsŠ2015
12