Guarding against the prospect of financial crisis, institutional investors are increasingly sensitive to financial risk. In 2008 many banks suffered losses from wealth management services. A year later, a number of banks appointed CT Risk Solutions to re-design their models for customer profiling and investment product risk assessment. This involved risk measurement calibration for individual customers, as well as a multi-factor model that incorporates market risks, credit risks including counterparty risk, liquidity risk and correlation risk. This model produces the value-at-risk of an investment product as a risk measure, efficiently measuring the risk of a wide range of complex products. In 2018, around 30 banks and investment firms in Europe, North America, ASEAN, East Asia and Hong Kong are using the models for their daily business.
Dr Michael Wong, Associate Professor, Department of Economics and Finance
Risk modelling for the Hong Kong banking industry