CASE STUDY : RISK MANAGEMENT

Context
In an environment of low or negative interest rates, and of high volatility, certain principles of banks’ asset and liability management need to be reconsidered. In this context, a French bank asks ESTER to perform a 360° analysis of its ALM (asset and liability management) model: Modelling the bank balance sheet through time, Measuring the interest rate risk, Prepayment risk on fixed rate loans, Livret A rate simulation, Scenarios and stress tests, RGT ...
Challenges associated with the mission
  • Simplified modelling of the balance sheet for the formation of a global vision of ALM risks
  • Evolution of the risk indicators / Measurement of the concavity of the balance sheet
  • Sharing the analysis with senior management
  • Identification of corrective measures in terms of measurement, production, hedging, communication
Distinguishing features
  • Understanding of the bank's balance sheet
  • Ability to simulate and analyse
  • Ability to train, share, reflect together
What our clients say about us

Head of the Middle Office

Asset management company

We asked ESTER to provide us with an independent valuation and a qualitative analysis of a set of cash CDOs ranging from single A to single B ratings. ESTER’s consultants carried out a well-documented quantitative and qualitative analysis. We appreciated the level of detail in the analysis of the CDOs’ underlying assets and the consultants’ ability to view the transactions relative to each other. The CDO prices as proposed by ESTER were solidly supported by a clear and well-structured analysis that was ideal for our purposes. ESTER has proved to be a very good choice and we are perfectly satisfied with the partnership we have set up with this company.

Member of the Executive Committee

Banking Group

The General Inspection Department asked to be assisted by ESTER in the important work of redefining the group's audit systems and risk mapping. We really appreciated the dedicated involvement of the two co-founders (Elsa and Stéphane) in our project. With a strong emphasis on training, they succeeded in placing their considerable technical skills at the service of the Inspection team, without ever losing sight of the assignment goals. ESTER was very attentive to our expectations and quickly got to grips with the specific characteristics of the company as well as those of the internal audit function. Their assignment at the Inspection Department was perceived not only as a technical contribution of  the highest quality, but also as a self-development opportunity for the employees, who particularly appreciated the running of easily understandable workshops, even on topics of great complexity."

Chief Investment Officer

Insurance Company

ESTER carried out an assignment for the Investment and ALM Department, aimed at extending the capacity of our solvency projection tools. The consultants were asked to build an IT module capable of transforming the risk-neutral scenarios generated by the Group and used in the context of Solvency II into real world scenarios, in order to better capture the behaviour of credit assets and equity assets. This real world vision is a useful complement to our portfolio construction tools. ESTER’s consultants built an effective and well-documented tool, in permanent dialogue with our teams. We are very pleased that we selected ESTER for this assignment.

ESTER S.A.S – Société Anonyme Simplifiée au capital social de 60 000 euros

Conseiller en Investissements Financiers immatriculé à l’Orias sous le numéro 13000667, www.orias.fr, et membre de la CNCIF.