Advisory

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Prytania's risk advisory activities are led by Fraser Malcolm. Prytania was founded with the vision of creating a specialist structured finance and credit risk boutique that brings together the best available risk management expertise, fundamental economic and credit analysis, structural product knowledge and quantitative analytics to provide clients with the highest quality risk and investment advice.

This philosophy still drives Prytania's risk advisory activities, which now cover the full range of structured finance and credit products, as well as emerging markets, commodity-linked, interest rate and derivative products. Prytania believes there is no one-size-fits-all approach that suits all clients. We recognize that each client and each situation is unique and will often require a tailored approach.

The types of analysis we provide include:

• Single position structure and documentation review
• Litigation support and expert witnessing
• Single position risk analysis, including loss distributions
• Fair value pricing for a large, diverse portfolio of investments
• Expected loss estimates
• Portfolio loss distributions
• Assessment of capital requirements for portfolios of assets
• On-going reporting and alerts to enable constant information flow and transparency

Prytania's senior management remain involved throughout an advisory assignment, ensuring clients get focus from very experienced personnel through the entire process. This on-going dialogue with the client allows us to propose an appropriate framework to deal with each situation, which is then implemented by the risk advisory team, with input on "house views" from the portfolio managers on expected future risks. These "house views" for structured finance and credit investments include:

• Sectoral default expectations: across industries, regions and consumer types
• Asset price expectations: crucial inputs for securitized products analysis
• Correlation levels: amongst portfolios of assets that behave in a correlated manner
• Rates and currencies: for global portfolios where they have a significant impact
• Documentation, structure and counterparty risk

Prytania's asset valuations are based on a consistent series of views, input assumptions and modelling approaches, all of which are transparent to our clients. For single assets, or across an entire portfolio, our methodologies include industry standard and proprietary techniques that combine probabilistic, deterministic and ratings agency approaches.