To ensure risk compliance and to improve management’s understanding of their complex balance sheets, financial service firms are working to reevaluate risk analysis methods and risk management processes. One notable area of focus is regulatory and economic capital; the Basel II Accord, for instance, provides guidance for banks to set aside capital and establish strategies based on accurate calculation of market, credit, and operational risks. However, firms must also ensure that they assess and communicate interest-rate, business, strategic, and other risks throughout the enterprise.
Consultants at Capgemini, an international provider of consulting, technology, and outsourcing services, use MathWorks tools for the calculation of regulatory and economic capital, as well as for valuation and other facets of risk management.
“We use MATLAB to implement very complex models for economic capital and valuation that enable banks to analyze risk systematically,” says Dr. Marco Folpmers, principal consultant at Capgemini. “We also deliver the MATLAB code to our clients so that their technical staff can work with it and build on it. This service sets us apart from our competitors.”