Our primary roles in the Risk department involve the maintenance and management of the relationship with the Rating Agencies (S&P and Moody’s), designing and developing the internal systems that are used for risk management and compliance with the Investment Management Contract, and ongoing research and development concerning the capital allocation, structural liquidity requirements and limits structure of Sigma and Theta.
Gordian places the utmost importance on the relationships with the Rating Agencies, and we will often be in contact with them on an almost daily basis.
The maintenance and development of the risk management, compliance, and internal control systems and procedures requires close liaison with the Independent Control function and Technology. We do however also develop our own prototype models to quantify and calculate the risk in the asset portfolios, and investigate models concerning the capital allocation and structural liquidity requirements, plus foreign currency capital pricing and projections of capital utilization over time. Additionally, on a daily basis we will review the performance of the portfolio with regard to the mark-to-market, swings in capital utilization, and conduct a review of daily transaction activity.
