Practice

Risk Management

Capital, credit, market, liquidity, emerging and model risk re-engineered as governed, reproducible pipelines. A horizontal practice across insurers and banks. Run by actuaries with sign-off experience on IFRS 9 ECL, ICAAP and SAM internal-model work.

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Risk Management Risk modelling and disclosure as governed pipelines. Top: a stylised loss distribution with an expected-loss marker and an accent VaR tail. Bottom: three KPI tiles — capital ratio, IFRS 9 ECL and stress headroom — reconciling across functions. expected loss VaR · stress tail CAPITAL 14.8% IFRS 9 ECL R 4.2bn STRESS HEADROOM + 2.4% Risk Management Risk modelling and disclosure as governed pipelines. Top: a stylised loss distribution with an expected-loss marker and an accent VaR tail. Bottom: three KPI tiles — capital ratio, IFRS 9 ECL and stress headroom — reconciling across functions. expected loss VaR · stress tail CAPITAL 14.8% IFRS 9 ECL R 4.2bn STRESS HEADROOM + 2.4%

Practice signals 1 / 3

Capital numbers reconcile

Risk, actuarial and finance need aligned capital, ECL and stress views.

Who this is for

Chief Risk Officers, heads of capital, credit risk, market risk, liquidity risk, model risk management, ALM and stress testing — at insurers, banks and bank-adjacent businesses.

Where we help

Most risk numbers are still produced through monthly heroics: someone pulls files, someone runs models in Excel, someone formats a pack, someone explains why this month's number disagrees with last month's. The data behind those numbers is rarely instrumented; the controls around them rarely tested. Capital, ECL and stress-test results often cannot be reproduced six months later. Regulators and auditors are increasingly intolerant of that.

What we do

Practice leads: SAM internal-model and ICAAP work led by Johann van Rooyen, FASSA. IFRS 9 ECL and credit-risk validation led by Elana Hörstmann, ten years in credit-risk model development and validation.

  • Capital and stress testing. Internal model engines, ORSA and ICAAP scenario runs, and the orchestration around them — scenario libraries, run reproducibility, results aggregation, lineage from raw exposure to disclosed capital.
  • Credit risk. IFRS 9 ECL pipelines, PD/LGD/EAD calibration, stage allocation, and reconciliation between the accounting view and the risk view.
  • Market risk and ALM. VaR / ES, risk attribution, IRRBB, and behavioural calibration of non-maturity deposits, prepayment and surrender — with the actuarial discipline that sits behind it.
  • Liquidity risk. LCR / NSFR, behavioural cashflow modelling, treasury data pipelines and intraday liquidity reporting.
  • Model risk management as a framework. Model inventory, validation policy, performance monitoring and documentation aligned with PRA SS1/23, US SR 11-7 and equivalent regimes. Distinct from individual validation engagements (see Model Validation).
  • Emerging risk scenario analysis. Forward-looking stress and scenario work for evolving risk drivers, including physical and transition lenses where a mandate requires them, integrated into the same capital and ECL infrastructure.
  • Risk data, reporting and disclosure. BCBS 239-style risk data aggregation, Pillar 3 disclosures, board risk packs and KRI reporting — designed as governed data products, not extracts.
Risk management evidence pack mockup A risk management evidence pack showing capital, ECL and stress metrics reconciled through controlled data lineage and explainable exceptions. CAPITAL - CREDIT - MARKET - LIQUIDITY - MODEL RISK Risk numbers that reconcile across models, MI and disclosure CAPITAL RATIO 184% within appetite IFRS 9 ECL R 4.2bn methodology version locked STRESS BREACH 1 explainer and owner assigned RECONCILED TO Board pack - Finance close Reg return - Model register LOSS DISTRIBUTION AND STRESS TAIL VaR / STRESS base expected tail severe EXCEPTION EVIDENCE Scenario: ZAR shock plus lapse stress Source: model run RSK-0426-17 Owner: Risk analytics - due Friday Evidence pack archived for audit Risk management evidence pack mockup A risk management evidence pack showing capital, ECL and stress metrics reconciled through controlled data lineage and explainable exceptions. CAPITAL - CREDIT - MARKET - LIQUIDITY - MODEL RISK Risk numbers that reconcile across models, MI and disclosure CAPITAL RATIO 184% within appetite IFRS 9 ECL R 4.2bn methodology version locked STRESS BREACH 1 explainer and owner assigned RECONCILED TO Board risk pack - Finance close Regulatory return - Model register LOSS DISTRIBUTION AND STRESS TAIL VaR / STRESS base expected tail severe EXCEPTION EVIDENCE Scenario: ZAR shock plus lapse stress Source: model run RSK-0426-17 Owner: Risk analytics - due Friday Evidence pack archived for audit

Diagram signals 1 / 3

Capital numbers reconcile

Risk, actuarial and finance need aligned capital, ECL and stress views. The body diagram should make this route explicit enough to discuss in a working session.

Capital, ECL and stress-tail numbers reconciling across functions.

Outcomes

  • Capital, ECL and stress-test results that reconcile across functions and reproduce cycle-on-cycle.
  • A defensible lineage from raw exposure to disclosed capital — under PRA, Prudential Authority, SR 11-7 and audit scrutiny.
  • Faster risk close, with fewer late-cycle reconciliation surprises.
  • A model-risk framework the second and third lines of defence can actually run.

Engagement model

We typically start with one well-scoped pipeline — an IFRS 9 ECL build, an ICAAP / ORSA stress-test orchestration, an IRRBB engine, an emerging-risk scenario package or a model-inventory rebuild — and expand outward. We don’t take audit work on clients we also build models for. Stated up front.

Related software

Symphony ReportingSymphony AutomateModelling and Validation

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