Market Risk

Overview

Market Risk Approach

Our services enable our clients to review and benchmark the trading and market risk functions and develop comprehensive framework for identification, measurement, monitoring, and control of market risk across all asset classes. We evaluate existing market risk management framework and identify the areas of improvement to help the clients in augmenting their capabilities.

By benchmarking the frameworks focusing on the specific nature of the business being conducted, we offer practical and appropriate advice on how the market risk management framework could be strengthened.

Support our clients in prospective and retrospective hedge effectiveness testing, in compliance with IFRS 9 requirements.

We are constantly innovating to meet the latest changes in market risk such as extreme value theory, reverse stress-testing, incremental default charge, Basel III revised standard capital charge and latest guidelines known as ‘Fundamental review of Trading Book’ (FRTB).

Offerings

Our Offerings towards Market Risk

Market Risk Management Framework

  • Appropriate organizational framework with respect to market risk management given the complexity of client’s overall operations.
  • Market risk governance structure for the clients in line with global best practices – such as roles and responsibilities of board of directors and other stakeholders with regard to market risk management.
  • Framework for identification, measurement, management and control of market risk across the asset classes.
  • Developing, enhancing or modifying the existing policies and procedures with respect to market risk.
  • Control framework for market risk by establishing market risk appetite, risk strategy, and market risk limits by asset class or trading desk.

Market Risk Management Framework

  • Appropriate organizational framework with respect to market risk management given the complexity of client’s overall operations.
  • Market risk governance structure for the clients in line with global best practices – such as roles and responsibilities of board of directors and other stakeholders with regard to market risk management.
  • Framework for identification, measurement, management and control of market risk across the asset classes.
  • Developing, enhancing or modifying the existing policies and procedures with respect to market risk.
  • Control framework for market risk by establishing market risk appetite, risk strategy, and market risk limits by asset class or trading desk.

Market Risk Analytics

  • Value at Risk Modeling using variance-covariance, parametric, non-parametric, and stochastic volatility methods, across different type of asset classes and instruments.
  • Multi factor Risk attribution Modeling.
  • Sensitivity analyses of foreign exchange instruments, interest rates, basis spreads to address quantitative disclosures, trading risks, liquidity, and collateral requirements.
  • Measurement of risk sensitivities, correlations and VaR in the investment portfolios of our clients.
  • Valuation of complex instruments, especially mark to model valuation instruments which are not traded frequently.
  • Independent validation of market risk assessment models, along with testing of boundary conditions and underlying assumptions.

Market Risk Analytics

  • Value at Risk Modeling using variance-covariance, parametric, non-parametric, and stochastic volatility methods, across different type of asset classes and instruments.
  • Multi factor Risk attribution Modeling.
  • Sensitivity analyses of foreign exchange instruments, interest rates, basis spreads to address quantitative disclosures, trading risks, liquidity, and collateral requirements.
  • Measurement of risk sensitivities, correlations and VaR in the investment portfolios of our clients.
  • Valuation of complex instruments, especially mark to model valuation instruments which are not traded frequently.
  • Independent validation of market risk assessment models, along with testing of boundary conditions and underlying assumptions.

Derivative Valuation & Hedging Strategy

  • Valuation of any traded market risk position regardless of its complexity supporting the workflow of valuation departments.
  • Valuation of fixed income, equity, commodity, and credit derivatives, exposure and compliance management, valuation systems and state of the art full function front office risk management systems.
  • Cash Flow Analysis, Portfolio Valuation and Profit & Loss Attribution.
  • Yield curve Modeling using sophisticated modern quantitative methods.
  • Derivative exposure regulatory reporting during quarter ends—FIN 39, CVA, fair value disclosures for derivatives and off-balance sheet risk instruments.

Fundamental Review of Trading Books (FRTB)

  • Classification of trading books and banking books financial instrument based on boundaries defined by Basel.
  • Risk Factor Eligibility Test for different types of Risk Factors associated with trading instrument held at the trading desk level.
  • Profit Attribution Test or Backtesting of risk models to identify Modellable Risk Factors.
  • Calculation of regulatory capital requirements based on standardized approach and internal model approach (IMA).

Derivative Valuation & Hedging Strategy

  • Valuation of any traded market risk position regardless of its complexity supporting the workflow of valuation departments.
  • Valuation of fixed income, equity, commodity, and credit derivatives, exposure and compliance management, valuation systems and state of the art full function front office risk management systems.
  • Cash Flow Analysis, Portfolio Valuation and Profit & Loss Attribution.
  • Yield curve Modeling using sophisticated modern quantitative methods.
  • Derivative exposure regulatory reporting during quarter ends—FIN 39, CVA, fair value disclosures for derivatives and off-balance sheet risk instruments.

Fundamental Review of Trading Books (FRTB)

  • Classification of trading books and banking books financial instrument based on boundaries defined by Basel.
  • Risk Factor Eligibility Test for different types of Risk Factors associated with trading instrument held at the trading desk level.
  • Profit Attribution Test or Backtesting of risk models to identify Modellable Risk Factors.
  • Calculation of regulatory capital requirements based on standardized approach and internal model approach (IMA).
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