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    Nicolas Kunghehian

    Brings deep expertise in ALM, liquidity, and market risks

    Nicolas Kunghehian, a recognized thought leader at Moody’s Analytics on ALM, liquidity and market risks across EMEA, helps financial institutions throughout the region define a sound risk management framework. Over the years, he has shared his expertise in authoritative articles, presentations and white papers covering ALM, liquidity risk, Basel II, risk management, stress testing, interest rate risk management, funds transfer pricing, and ERM.

    École Nationale de la Statistique et de l'Administration Économique: Ingénieur, Finance
    École Polytechnique: Ingénieur, Mathematics
    Lycée du Parc: Mathematics
    Representative Projects

    Worked with major French banks to implement ALM frameworks and IRRBB modeling, as well as to build efficient process workflows for IFRS9 impairment.

    Participated in an FTP implementation project for a leading bank, including aligning its system with regulatory constraints.

    Published Work

    Bank RegTech Talks Webinar Series: The Rise of Integrated Balance Sheet Management

    With greater clarity of the regulatory compliance environment than at any time since before the financial crisis, banks have an excellent opportunity to get off the compliance treadmill and move forward with strategic technology platforms for managing risk.

    November 2017

    Liquidity Risk: Some Practical Challenges Remain, but this is the time to Automate & Integrate

    This whitepaper covers the challenges and best practices for closer alignment of liquidity risk management and regulatory reporting.

    October 2017

    Interest Rate Risk in the Banking Book: Meeting the Practical Challenges

    The new Basel Committee on Banking Supervision (BCBS) standards for IRRBB come into force January 1, 2018. This paper looks at the standards from a practical implementation point of view and raises some of the main challenges.

    September 2017

    Aligning Liquidity Compliance and the Business – A Three Step Approach

    In this webinar, experts from Moody's Analytics will demonstrate the three steps to managing liquidity, compliance and the business.

    January 2016

    Building a Comprehensive FTP Framework for Stress Testing, Risk Appetite, and Forecasting P&L

    Funds transfer pricing (FTP) is of growing concern to banks and regulators. But what does FTP have to do with stress testing? A comprehensive FTP framework can help organizations use the results of stress tests to forecast their P&L across departments.

    May 2015

    Data Quality for Accurate Liquidity Management

    This webinar looks at the need for data quality when managing volatile ratios in a short period of time, improving performance in a low interest rate environment and fulfilling the detailed reports required by supervisors.

    April 2015