Understand and manage micro and macro economic risk

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

-

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

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SymetricsŠ2015

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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

-

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

-

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