Market risk
As a major systematic risk, market risk cannot be eliminated but can be mitigated through expertise.
In a combination of qualitative, quantitative, regulatory and technology skills, we supports institutions assessing, developing and deploying robust Market Risk Management by identifying, measuring, monitoring, and controling exposure to market risk given the institution's size, complexity, and risk profile. Our teams help clients to drive efficiency, effectiveness and balanced risk coverage in an uncertain and fast paced regulatory environment.
Our service areas include – but are not limited to:
- Market Risk Management:
- Assess the design, implementation of the market risk policies and framework and identify areas of further improvement
- Asses and/or develop the appropriates market risk metrics (VaR, Expected Shortfall, Stress Tests…)
- Assess and/or define the risk appetite based on risk profile and risk capacity
- Test the controls and correction of the appetite deviation including the monitoring and reporting processes
- LIBOR transition
- Create a robust enterprise-wide project governance
- Assess the impacts and perform a gap analysis to identify the front to back processes that require improvements
- Define and implement new accounting guidance (IFRS9, IFRS13, IFRS7...)
- Definition of the hedging strategy
- Review of the effectiveness test and associated documentation
- Assessment of the hedging documentation requirements
- Implement the transition of Legacy Trades and preparing for New Product Offerings
- Identify and implement automatization of financial disclosure requirements and analysis/ monitoring tools
- Model Risk Management
- Assess and/or design your model governance framework consistently with SR11-07 and industry practices
- Assess the design and implementation of the processes and controls in place throughout the model lifecycle (model inventory, classification, documentation, monitoring, reporting)
- Review or develop model inventory (definition, identification, application, tiering, maintenance)
- Assess and/or develop model documentation with our Quantitative Solutions
- Assess the identification, measurement and monitoring process of model risk
- Review the controls in place to mitigate model risk against regulatory requirements and industry practices
We adopt a tailored service approach which takes into account our clients’ specificities in terms of business, organisation, structure and complexity. Our objective is to provide them with the most optimised solution.
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