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Market & Liquidity Risk Management

Market risk spans a wide range of risk areas, including:  foreign exchange risk, interest rate risk when a bank borrows short and lends long; liquidity risk embedded in many insurance and fund products or when a corporation cannot meet its financial obligations or access the capital markets for funding; and valuation risk arising in complex trading books such as credit derivatives and commodities or in the portfolios of unlisted investments.  In many cases, a market-related transaction also gives rise to a counterparty credit default risk.  In each of these areas our clients face an evolving set of industry best practices and regulatory expectations.

We have experience in dealing with such risks and advising clients what is the blend of solutions best suited to their organisation. Our strength is our experience and expertise in market and counterparty risk management. We know what are the industry best practices and understand the expectations of supervisors.  Our team is comprised of highly-experienced professionals with a broad range of industry and regulatory experience in banks, investment firms, and funds.

Our services include:

  • Market risk taking and management policies: evaluation and implementation programs
  • Liquidity risk taking and management policies: evaluation and implementation
  • Conducting gap analyses with respect to a client’s existing market risk management infrastructure and the supervisory or regulatory expectations
  • Effective remediation of issues and saving clients regulatory capital and financial resources in response to or anticipation of structural changes in the financial services industry
  • Assessment of the adequacy of governance and controls, including Market risk Limit setting frameworksLiquidity risk Limit setting frameworks
  • Review of the operational risks inherent in the trading environment
  • Development of procedures supporting the policies
  • Market VaR (Value at Risk) models: development of new models and evaluation of existing ones
  • Stress testing of market risk factors
  • Product risk evaluation
  • Interest rate risk metrics: review of existing programs and implementation of new ones
  • Collateral management and margining for dealing with counterparty credit risk in trading transactions (e.g. Forex brokerage business)
  • Compliance with Basel III and other regulatory requirements (Liquidity Coverage Ratio, Net Stable Funding Ratio): implementation, optimisation, validation
  • Prudential liquidity monitoring, liquid asset calculation, modelling surplus liquidity available for lending subject to liquidity ratio constraints
  • Model validation and review of valuation practices
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