helping our clients
uncover
hidden risk.

about

history

risk
management
consulting

our history

Rimcon Inc. specializes in applying modern quantitative techniques to the management of financial risk. Founded in 1989 by Grant Paulsen, Rimcon has provided Financial Consulting services to over 20 companies throughout Canada. These included life insurers, trust companies, banks, credit card issuers, and non-financial companies.

We have provided consulting services to several companies on a continuous basis for over 10 years.

strategy

our strategy

We use traditional measures such as duration, convexity, and key rate sensitivity (or key rate duration), as well as deterministic and stochastic (random) scenario analysis, marginal risk contribution, and return on economic capital to identify and quantify the risks embedded in asset/liability portfolios. Our goal is to optimize the present value of net equity (surplus) in the portfolio, within predefined risk constraints.

The interest rate risk analysis includes contingent claims such as loan commitments, prepayment privileges, minimum crediting rate guarantees, and early redemption options. Off-balance sheet exposures and hedging tools such as options, futures and swaps are also covered.

The analysis allows effective comparison of investment and funding strategies, as well as the use of capital market tools to manage risk and increase the economic value of the firm.

process

our process

The services are offered under either a service bureau or technology transfer arrangement. The former consists of periodic analysis of client data by Rimcon to produce a risk report and portfolio rebalance recommendations. The latter involves training client staff in the techniques necessary to carry out the analysis in-house, as well as assistance in setting up the software and configuring electronic data inputs.

The software employed consists of spreadsheet-based applications, with error-trapping and automation to maximize ease of operation and limit the possibility for errors. Where large data files and simulations are involved, Visual Basic code (either Windows applications or VBA Macros), and C++ dlls are used to improve run-times. A range of modules have been developed and refined over the past 17 years. Modules are selected and linked to suit the individual needs of each client.

grant paulsen

Grant Paulsen, P.Eng., MBA, CFA, FRM

grant paulsen
P.Eng., MBA, CFA, FRM

Grant Paulsen is the principal at Rimcon. He holds an Honors MBA from the University of Chicago, and has over 30 years of international business experience, the past 17 in asset/liability and risk consulting. Grant holds the CFA (Chartered Financial Analyst) and FRM (Financial Risk Manager) designations and has completed a range of Canadian Securities Institute courses.

experience

overview

25 years
of financial
expertise

Rimcon Inc. has provided consulting services to over 20 financial institutions including life insurers, trust companies, banks, credit card issuers, as well as several non-financial companies. The balance sheets ranged in size from under $100 million to over $10 billion.

analysis

analysis

Past projects have included:

  • ALM analysis and recommended portfolio rebalances to reduce risk and improve earnings
  • Identification and evaluation of non-traditional investment strategies to back life insurance liabilities - synthetic equities, inter-segment notes, hedge funds
  • Evaluation of performance and identification of operating risk for equity-linked pass-through products
  • Analysis of policyholder behavior risk for a range of life insurance products
  • Analysis of embedded risk and hedging cost for the minimum death and maturity guarantees on segregated funds (insurance industry version of mutual funds)
  • Due diligence on the acquisition of a $50 million block of life insurance business
balance sheets ranging from
$100M to
>$10B
due diligence on
aquisition of block valuing
$50M

strategic planning

strategic planning

Past projects have included:

  • Drafting of policies and procedures for asset/liability management, derivatives, liquidity management
  • Assistance in the design of life insurance products - pricing of product features, optimal investment strategy, techniques to manage risk-based capital requirements
  • Design of relative value models for use in evaluating preferred shares, ABS, and mortgages
  • Design of liquidity risk reports (in insurance and trust companies)
  • Design of risk reports and scenario analysis for credit card operation
providing financial consulting
services for the past
25 years
providing
financial services to
>20 institutions

custom implementation

custom implementation

Past projects have included:

  • Installation of ALM software and configuration of feeds. Training of staff to run software and produce risk reports
  • Training of staff in ALM and capital markets topics (ALM principles, options, futures, swaps, ABS, hedging techniques, life insurance risk, binomial models, dynamic hedging, valuation of embedded options)
  • Design and implementation of optimization models to identify preferred asset mix and maximum Annuity rates
  • Design and implementation of synthetic equity (cash + index futures) portfolios to mimic return of major foreign equity markets. Performance tracking and analysis
  • Design and implementation of a model to predict cash flows and correctly amortize premium/discount on a $400 million pool of CMHC mortgage-backed securities
designing and implementing
software modules for
17 years
implementing models to predict
and amortize pools
valued up to
$400M
services

overview

manage
your
financial risk

Informed business decisions require intelligent, thorough and practical analyses of financial and operational risks. With our extensive experience and broad spectrum of financial risk management expertise, we can help.

asset/liability analysis

asset/liability
analysis

The client provides listings of assets and liabilities. We model cash flows and measure risk using Rimcon ALM software. Reports show market value of portfolio equity, effective duration and convexity, key rate sensitivity as well as performance under a rage of stress scenarios. A sample report can be provided on request.

optimization

optimization

Based on the asset/liability analysis, we can recommend a rebalance to reduce risk, and increase financial statement income.

product analysis

product
analysis

Before launching a new product, let us analyze its risk profile and recommend investment strategies to maximize profitability and avoid surprises.

product pricing

product
feature pricing

Many financial products contain embedded options and futures - sometimes hidden from view. We can identify them, tell you what they are worth (you may not want to offer them!) and show you how to hedge the risk.

performance attribution

performance
attribution

Your foreign index fund isn't tracking the index, but you don't know why. Is it FX mismatch, futures tracking, short-term returns or something else? We can split the return into its components to show you what needs to be improved.

in-house training

in-house
training

We can teach your staff how to do this analysis as well as set up software and data links to produce weekly or monthly risk reports.

downloads

overview

download
articles
and sample tools

Scroll through recent articles and sample ALM reports in PDF format. Download and run working credit simulation models and cash flow models.

articles

articles

sample tools

sample tools

contact