A sample of representative engagements showcases the breadth of qualitative and quantitative expertise provided for clients
Risk Appetite Statement Development
Following a recent safety and soundness examination by their primary regulator, a $5 billion asset community bank needed to develop a risk appetite statement. Working with the CRO and other risk staff at the bank, Chesapeake Risk Advisors created a schedule of risks for the firm and qualitative and quantitative descriptions of each risk. The risk appetite statement was drafted and reviewed and approved by the board
Stress Test Analysis
An $8 billion asset commercial bank in preparing to become a DFAST bank sought advice and assistance in developing the data and analytical infrastructure needed to produce stress tests on the bank's balance sheet. The bank had a balanced portfolio of commercial and secured consumer assets. An assessment of data requirements was made along with changes to various vendor and in-house models used for portfolio and financial analysis that would be needed to produce reliable stress test estimates.
Asset Pricing Modeling
A large mortgage market participant wanted to move away from a vendor-supplied model to evaluate risk to an important consumer asset class. Using the client's historical loan level data, a statistically-based set of default and prepayment models were estimated and validated. A separate loss severity module was also estimated using external data and a Monte Carlo simulation of losses was developed allowing the firm to more accurately price credit risk and perform best execution analysis.
ERM Framework Development
A $12 billion asset commercial bank had grown to a point over the last few years where their ERM framework required a significant overhaul. A number of policies and procedures were either missing or deficient. The governance structure of the company in terms of risk management was also relatively weak. A revamped risk committee structure including charters. revised policies and procedures and selection of a candidate GRC system was identified and implemented as part of the assessment.
Loan Loss Reserving Analysis
A medium-sized credit union wanted to conduct an impact assessment to their allowance for loan and lease loss reserves of the upcoming current expected credit loss (CECL) methodology. The firm's existing ALLL methodology was adapted for the exercise to handle life of loan, expected loss and macroeconomic drivers. Results between the current methodology and the CECL framework were compared and communicated to management and the board.
A large (>$50 billion) asset commercial bank requested
a validation of several statistical models used in the bank's ALM process. The empirical structure and economic soundness of the models were reviewed and critiqued. Models were tested against an out-of-time validation sample not used in the models' development. A comprehensive report identifying model performance, enumerating weaknesses found and corrective actions needed were included in the assessment.