Financial Risk Management 

The last few years have made the fragility of the global financial system apparent and have proven that a sound risk management framework is of utmost importance for financial institutions to sustain in times of crises – a need that also ranks high on most regulators’ agendas.  In that regard, the financial sector faces a wide variety of regulatory reforms along with increasing requirements to bank’s quantitative risk management frameworks, systems and models as stipulated, for example, by the Basel rules.

What is on your mind?


Regulatory reforms have a significant impact on financial institutions’ quantitative risk management systems and models and confronts the financial institutions with new challenges as for instance in regards to:

Credit Risk

Credit Risk

    The new regulatory requirements of Basel 3 have a significant impact on the way in which financial institutions manage credit risk. In particular in the area of counterparty credit risk measurement and management the industry is currently undergoing major changes. Key items under regulatory scrutiny include the move to central clearing (CCP rules issued by the Basel Committee of Banking Supervision) as well as the capital charge for OTC derivatives (CVA, stressed EPE and wrong-way risk).
Market Risk

Market Risk

    The “Revisions to the Basel II market risk framework” (so-called Basel 2.5) introduced by the Basel Committee of Banking Supervision in 2009 require banks using an internal model approach to market risk to implement a “stressed version” of their current Value-at-Risk approach as well as the so-called Incremental Risk Charge. Since then, the regulatory scrutiny on the governance around market risk as well as the identification, measurement and management of market risk continues to further increase significantly.
Liquidity Risk

Liquidity Risk

    The regulatory requirements regarding qualitative and quantitative liquidity management for Swiss banks have been further specified through the publication of the Liquidity Ordinance and FINMA Circular 2013/6 “Liquidity - Banks” as well as the mandatory monthly reporting of the Liquidity Coverage Ratio (LCR). The implementation requires a deep economic understanding of the bank’s liquidity risks drivers.
Financial Products

Financial Products

    From 2013 the new IFRS 13 standard substitutes the IAS 39 fair value definition, introducing the concept of exit price. Fair value assessments increase in complexity and require now portfolio-level valuations together with counterparty credit risk assessments (CVA & DVA).

How KPMG can help you


In this challenging environment financial institutions must be able to build and rely on a strong and experienced partner to help them to overcome these challenges. We as KPMG bring along the pivotal expertise and experience to help financial institutions to master the current challenges in financial risk management. We are a global team of financial risk management specialists. Over many years, we have worked with numerous clients, from international to regionally operating banks, investment banks to private banks with a strong wealth management focus, banks exposed to various regulatory regimes and working with the highest quantitative risk management standards, systems and models.


We can help you across numerous areas within credit, market and liquidity risk as well as in financial products valuation, validation and hedging. Examples include:


Credit and Market Risk Management

  • Achievement of compliance with Basel 3 and FINMA regulatory requirements.
  • Credit and market risk measurement and management through development, implementation and validation of quantitative methods (e.g. statistical models, credit provisioning, hedging strategies, (stressed) Value-at-Risk, risks not in Value-at-Risk, stress testing and scenario frameworks, Incremental Risk Charge, Comprehensive Risk Measure) and by performing independent reviews of credit and market risk management frameworks.
  • Independent validation of credit and market risk models or support in the design and implementation of credit and market risk model validation frameworks.
  • Internal Audit Services to support in financial risk and regulatory compliance related fields.
  • Development of documentation of credit and market risk models and processes.
  • Design and implementation of hedge accounting frameworks.
  • Development, implementation and enhancements to existing market and credit risk management governance frameworks.


Liquidity Risk Management

Implementation of the regulatory liquidity risk measures (LCR and NSFR):

  • Bank-specific interpretation of the FINMA rules
  • Gathering and analysis of data to achieve a compliant reporting (e.g. for derivative cashflows)
  • Development and implementation of a consistent classification of securities, financial products and clients
  • Embedding of the measures in the daily liquidity risk management processes and identification of possibilities to optimise the measures


Implementation of a qualitative liquidity risk management framework:

  • Design of a liquidity risk management approach which considers the proportionality principle
  • Development and implementation of methods and models to measure liquidity risks and controls
  • Development and implementation of a stress testing framework (including definition of stress scenarios and calibration of stress parameters and derivation of a contingency funding plan)
  • Development and implementation of a funds transfer pricing framework for liquidity costs and benefits


Financial Products

  • Financial instruments valuation and fairness assessments (OTC derivatives, bonds, structured trades) on most risk categories (IR, FX, equities, credit, commodities).
  • Validation / quality assurance of pricing and risk management models (material risk drivers identification, appropriateness of risk metrics, model backtesting & stress testing).
  • Identification of efficient and effective hedging strategies and accounting thereof (hedge accounting).

Thomas Schneider

Thomas Schneider

Partner, Head of Quantitative Finance Group, Financial Services

+41 58 249 54 50

IFRS for Financial Services

The KPMG IFRS Financial Services Group is a dedicated team of professionals with profound financial services experience.