1. Our ServicesQuantitative Advisory Services
Valuation Policy
Review
We assist with an
assessment of the impact
of change in valuation
policy and help
implement any such
change to front, middle
and back office
processes.
Employee Share
Option Pricing
We determine and review
the fair value of
employee share options
according to the
requirements of IFRS 2.
Valuation and Pricing
Advisory Services
In addition to plain
vanilla instruments, we
value complex derivative
instruments ranging
from bonds with
embedded options,
swaptions, barrier
options, credit default
swaps, total return
swaps and CDO products.
We also incorporate CVA
and DVA in our valuation
and we have subject
matter experts on
IFRS 13.
Hedge Effectiveness
Assessment
We advise clients on
hedge effectiveness
calculations to comply
with international
accounting standards;
including the review,
development and
implementation of
models to prove and
measure retrospective
and prospective hedge
effectiveness.
Market and Liquidity
Risk Modeling
We review the
reasonableness of
Value-at-Risk (VaR),
Earnings-at-Risk (EaR),
Economic Value of
Equity (EVE) and
Maximum Cumulative
Outflow (MCO) models
for risk management.
Credit Risk Modeling
We review the
reasonableness of credit
risk models and assess
the Probability of Default
(PD), Loss Given Default
(LGD) and Exposure at
Default (EAD) models.
VaR Audit
We perform audit
procedures using a
controls-based approach
on key stages of the VaR
calculation process. In
addition, we also
perform substantive
testing that includes
testing the calculations,
analytical review
procedures and agreeing
the FS disclosures to the
actual model output.
Model Review and
Validation
We work with clients to
assess the reliability,
accuracy and
consistency of valuation,
pricing and risk models
to gain a clearer
understanding of their
strengths and
weaknesses.
We provide assessment
and workshops on the
valuation, hedging and
management of
commodity price risks.
Financial Services
Risk Management
Financial Services Risk
Management (FSRM) is the
leading and dominant provider
of risk management advisory
services, known for providing
unparalleled quality services.
We are committed in meeting
specialized needs of the market
through innovative products
and services. Our clientele
includes key financial
institutions, and movers and
giants in various industries.
Leading and
dominant
provider of risk
advisory services
Known for
providing
unparalleled
quality servicesPotential Services for
FY2015
Energy and
Commodity Risk
Advisory

2. We are composed of professionals whose
expertise come from solid industry experience,
strong academic foundation, and hard-earned
relevant credentials. Our team members have
diverse backgrounds who have taken up
Accountancy, Business Management, Economics,
Mathematics and Finance. We are equipped with
globally-recognized charters and certifications
(CFA, FRM, SOA) and led by relevant IFRS subject
matter experts, we consistently deliver only high
value and quality services for our clients.
Risk and Capital Actuarial Services
Francisco Roque A. Lumbres, CPA, CFA, PRM
Partner
Direct Tel: + 63 (2) 894 8101
Mobile: + 63 (917) 894 8101
Email: francisco.roque.a.lumbres@ph.ey.com
Christian G. Lauron, CPA, FRM
Partner
Direct Tel: + 63 (2) 894 8217
Mobile: + 63 (917) 894 8217
Email: christian.g.lauron@ph.ey.com
Asset Liability
Management - Fund
Transfer Pricing
We aid managers in the
development and use of
transfer pricing
methodologies that may
be utilized in a broader
economic capital and risk
adjustment performance
measurement
framework.
Risk Capital
Modeling
We work with clients in
designing models and
methodologies that help
managers better
understand key risk
drivers for risk capital
and the methodologies
that may be employed to
estimate the required
capital amount.
Actuarial Audit
We review actuarial
assumptions and
methods, according to
IFRS 4 including the ED
of Phase II, to check
reasonableness of
actuarial reserves, data
appropriateness and
compliance with
statutory requirements.
We also assess the
liability adequacy test
and review insurance-
related financial
statement disclosures.
Statutory and
Regulatory Gap
Analysis
We leverage our industry
expertise and
professional and
technical knowledge to
communicate
recommendations on
improving the statutory
and regulatory reporting
of insurance companies,
and to assist in the
transition from the
current regulation to any
changes or
improvements.
Economic Capital
Framework
Development
We assist in development
of an economic capital
framework, the overall
corporate governance
structure and the
management reporting,
with the use of our
knowledge in the
relevant assumptions
and methodologies.
Basel Requirements
We assist in ensuring our
clients’ compliance with
regulatory guidance
provided within the Basel
Capital Accord regarding
internal capital adequacy
procedures, stress
testing, and scenario
analysis.
Embedded Valuation
and Pension Review
We review and test the
calculation of the
embedded value and
value of future business,
and review and test
actuarial assumptions
and output for both
reserves and pensions
side.
Actuarial Modeling
We use our skills to
identify and perform
research on risk factors
and create risk
distributions that help
our clients in the
development of their
actuarial models.
Contacts
Our People
Potential Services for
FY2015