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Market Risk |
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We help clients assess correlations between risk factors; measure and manage market risk exposures in the trading and banking books;
and back-test market risk models.
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We undertake independent audits of market risk models to: verify the internal validation process is suitable; ensure formulae
are accurate and appropriate; validate that models reflect the firm's activities and geographical coverage; verify back-testing results to ensure models produce reliable
estimates of losses over time; and to ensure data flows and processes are transparent and accessible.
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We help Basel II-compliant banks move from the Basic Indicator or Standardized Approaches to the Internal Models Approach for measuring market risk.
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We help clients implement sound valuation policies, to deal with asset concentrations, illiquid securities, and large numbers of marked-to-model securities
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We formulate and undertake stress-testing exercises for our clients; we assess liquidity risk management policies and assist with Asset and Liability Management.
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