CPRA has front office experience in structuring, pricing and marketing which means we can analyse trades at the portfolio or trade level; assess risk parameters or pricing and help unravel termsheets.
Cash ABS, such as mortgage backed securities, and synthetic structured credit (CDOs/CSOs) are a key area of expertise for CPRA. Analysis of portfolios, re-structuring alternatives and the development of regulatory methodology (eg CRD3’s Comprehensive Risk Measure) are all examples of work that we have undertaken with clients in the structured credit arena.
Regulatory Methodology – Basel III and CRD4
The regulatory response to the events of 2008 has increased the burden on banks in period where resources have become more constrained.
CRD3 has come online, with CRD4 on the horizon. Expected Positive Exposure (EPE) and Internal Model Methods (IMM) waivers remain a focus for many banks as they seek to more accurately represent the risk weighting of their assets.
In addition, RWA leakage can quite easily occur if systems and processes are not fully aligned with the desired methodology.
As both users and developers of quantitative models and structures, we bring a high level of technical knowledge to our clients’ quantitative needs. We take a practical approach to the development of our quantitative analysis and frameworks: understanding the real risk drivers; what is relevant; market constraints and where theories and models can fail.
Clients may well have the expertise in-house, but often that expertise is not readily available to help familiarise others in the firm. CPRA ensures its training is applied and practical, steering away from more academic approaches and focusing on market conventions. We aim to offer environments that are separate from the often pressurised work environment to allow people to ask questions freely and openly.