riskt management


Risk Management

Market Risk

  • Calculation of key sensitivities (DV01, Duration, Analytical Greeks, Monte Carlo Greeks) for complex financial products of all asset classes and assisting your firm in creating PnL plausibility checks based on the calculated Greeks and the observed movements in the relevant market risk factors.
  • Reporting: Providing assistance with the creation of a user-friendly and customer oriented Limit Reporting.
  • Hedging: Determination of optimal hedge ratios (in particular dynamic hedge ratios) for complex financial products.
  • Providing guidance with respect to putting into place a suitable process for checking that utilized market data inputs (volatilities and interest rate curves) are accurate and consistent (i.e. do not violate any no-arbitrage conditions).
  • Assisting with the implementation of suitable models for quantifying risk at the portfolio level such as VaR (Historical, Analytical, Monte Carlo).
  • Calibration of the key parameters for EWMA and GARCH models for taking into account "Volatility Clustering" effects.
  • Providing guidance with defining suitable stress test scenarios including historical scenarios for capturing the potential impacts of "Tail Events".
  • Implementation of suitable back testing procedures for risk models such as VaR, Expected Shortfall etc. that give due consideration to the associated regulatory guidelines.

Credit Risk

  • Determination of the parameters required for the calculation and quantification of default risk: Default Probability (PD), Exposure at Default (EAD), and Loss Given Default (LGD).
  • Assisting with the implementation of Credit-Scoring models for estimating the default probability (PD) for illiquid credits (i.e. loans).
  • Providing assistance with respect to the calculation and reporting of key regulatory metrics including Expected Positive Exposure (EPE) and Potential Future Exposure (PFE).
  • Providing guidance and assistance with the implementation of a suitable internal rating system as well as designing a process for back testing an existing rating system within the Internal Ratings Based (IRB) framework.
  • Providing assistance with the implementation and accurate calibration of a Credit VaR model.
  • Providing guidance and assistance with the estimation of default correlations (one-factor and multi-factor models).
  • Providing assistance with the modelling of rating migrations, in particular assisting with the determination and/or validation of rating transition matrices.
  • Credit Portfolio Management: Provide consulting services with respect to the use of securitizations and credit derivatives to free up risk capital (RWA).

Operational Risk

  • Providing assistance with the implementation of an IT-Infrastructure suitable for reducing operational risks; for example defining a workflow that is compatible with the four-eye validation principles for validating trades.
  • Providing assistance with identifying and defining suitable Key Risk Indicators.
  • Providing guidance and assistance with the implementation of the Advanced Measurement Approach (AMA) for quantifying the risk capital required to cover operational risks.