Risk Management
The challenge
Risk management in banking and insurance has never been more demanding than it is today. The Risk function has to absorb a convergence of overlapping transformations: tighter regulation (FRTB, IFRS 9, finalized Basel, Solvency II, DORA), rising credit risk driven by the macroeconomic environment, growing complexity of internal models, heightened expectations on the traceability and governance of algorithmic decisions, and the arrival of AI in decision chains.
In this context, the difficulty is no longer to measure risk — the mathematical tools have long been mature. The difficulty is to govern the measurement: building a framework that stands up to audit, that speaks to the supervisor, that informs risk committees, and that does not, through its own complexity, introduce new operational risks.
OMOTE Advisory supports Risk functions on both fronts at once.
Areas of focus
Credit risk
Credit expertise at OMOTE covers the full chain: modeling, validation, regulatory compliance, governance.
Modeling and internal ratings — design and review of PD, LGD and EAD models; calibration of A-IRB and F-IRB models; transition to finalized Basel (Basel IV); handling of edge cases and back-testing across varied macroeconomic regimes.
Standardized approach and related prudential requirements : RWA calculation under the standardized approach, Large Exposures Framework, Leverage Ratio.
IFRS 9 and provisioning — ECL models (12-month and lifetime), staging, forward-looking macroeconomic scenarios, integration with prudential models, consistency between accounting and risk views.
BCBS 239 applied to credit — governance, data lineage, credit data quality controls, data-risk audit framework.
Validation and governance of credit models — model risk management aligned with SR 11-7 and TRIM principles, independent validation framework, documentation, performance monitoring, and drift detection.
Credit reporting and supervisory dialogue : production of the AnaCredit collection and related granular reporting, supervisory dialogue with the ECB, ACPR and EBA.
Areas of focus
Market risk
Market expertise at OMOTE covers the three main stages: measurement, validation, compliance.
Measurement and calculation — VaR (historical, parametric, Monte Carlo), expected shortfall (ES), Greeks and higher-order sensitivities, risk calculations for exotic products (barrier, Asian, digital and lookback options).
FRTB implementation — transition to the strengthened standardized approach (SA), move to the internal model (IMA), P&L attribution tests, treatment of non-modellable risk factors (NMRF), capital adjustments for default risk.
Counterparty credit risk : exposure calculation under SA-CCR or the Internal Model Method (IMM / EEPE), collateral management, integration with CVA and DVA valuation adjustments.
Market stress testing — scenario design, historical and hypothetical calibration, integration with ICAAP exercises and risk committees.
Beyond credit and market
A Risk Management engagement at OMOTE often extends beyond the credit–market perimeter: operational risk, liquidity risk (closely connected to ALM), model risk, and the full ESG–climate space — now treated as an integrated requirement rather than a peripheral topic.
Operational risk : transition to the new Standardized Measurement Approach (SMA) under finalized Basel III, loss data collection framework, operational risk scenarios, calibration of loss indicators.
Liquidity risk : close articulation with the ALM function, intraday and structural monitoring, ILAAP exercises.
Model risk : model inventory, independent validation, performance monitoring, governance spanning credit and market functions.
ESG and climate risks : integration of climate factors into prudential frameworks, climate stress tests, Pillar 3 ESG reporting, alignment with the EU Taxonomy.
Prudential steering and stress testing : running SREP exercises on the risk side (ICAAP, ILAAP, RAF), design and execution of internal and regulatory stress tests, integration of results into capital and liquidity decisions.
Capital management and planning : multi-year capital planning, RWA optimization, capital allocation by business line, alignment with Pillar 2 add-ons (P2R, P2G), MREL and TLAC requirements.
Risk Appetite Framework and risk governance : design and rollout of the RAF (statements, metrics, thresholds, escalation mechanisms), risk taxonomy, Three Lines of Defense articulation, risk committee support.
Design and maintenance of Recovery and Resolution Plans, consolidated reporting at the financial conglomerate level (CONGLOFI) where applicable.
This cross-functional approach isn't a stance — it's a professional requirement. Supervisors and risk committees expect joint stress tests and multi-risk trade-offs; consistency between measurements — credit/market, market/liquidity, prudential/accounting — has itself become an audit topic.
Prudential reporting and supervisory dialogue
Production of risk figures feeding COREP — capital, RWA, large exposures, leverage ratio, liquidity ratios (LCR/NSFR) — with consistency according to FINREP. Pillar 3 public disclosures covering capital, credit risk, market risk, counterparty risk and operational risk. Coordination with statutory auditors and support in supervisory dialogue with the ECB, ACPR and EBA.
Insurance
For institutions subject to the Solvency II regime, OMOTE works on the modeling of actuarial risks (underwriting, reserving, longevity, catastrophe), economic capital calculation under standard formula or internal model, ORSA, and consistency between prudential and internal management views.
Industrialization through RIALTO KERNEL
RIALTO KERNEL provides two modules dedicated to risk management: MARKET RISK and CREDIT RISK. They build on the platform's shared architecture — a stable analytical kernel, Flow Insight Core for behavioral modeling, line-level traceability, and native auditability — and industrialize measurement, validation, and reporting processes.
For institutions that want to automate their Risk framework while keeping operational control of their methodology, RIALTO is the natural extension of our advisory work.