Internal Model Approach (Basel)

We partnered with a Top Tier South African institution to design and deliver, a market leading platform for market risk measurement under the Internal Models Approach. We delivered a first of its kind, configurable reporting framework, to deliver a wide range of risk analytics on an entirely configurable and automated basis. In addition to the core system, we also implemented a robust, clean reconciliation between risk and finance, with a granular PnL attribution, and risk-based backtesting process which provide clear visibility on risk model performance and adherence to trading mandates at individual desk levels.

Risk Data Aggregation and Reporting (BCBS 239)

BCBS 239 represents a significant step in the convergence of regulation and technology, with an acknowledgement by the Basel Committee on Banking Supervision that many Basel regulatory implementations fall short from a technical control perspective. We worked with a Top Tier South African Bank to design an approach to measuring the health of the organisation's risk platforms, and to integrate into Board, Senior Management and Operation Reports, metrics that would inform management's appreciation of the accuracy of the system. Furthermore we laid a foundation for the bank to make key strategic decisions regarding future risk architecture. This project involved high level stakeholder engagement, touching the office of the CEO, senior management, and the CIB heads of Market Risk and Credit Risk, amongst others.

Market Risk Model for Valuation Adjustments (XVA)

We partnered with the local office of a Global Systemically Important Financial Institution to model their XVA (in particular CVA and FVA) within the organisation's Value-at-Risk model. We built a robust generic daily process, suitable for extension to many other risk types, to include these risks in the daily market risk calculation, as well as key controls to track performance of the model on an ongoing basis.

Transformation Project (IFRS 9)

We were involved in the implementation of IFRS 9 for a global Systemically Important Financial Institution. The primary objective was to align the bank’s risk management policies with its accounting practice. We worked with the client using the forward looking technique to identify expected credit losses and factoring these into provisions.

Cash Management - Telecommunications

We delivered a cash management solution for a large multinational telecommunications organisation based in South Africa to capture risk across a broad range of locations and businesses, with the purpose of driving more informed strategic decisions around corporate actions.

FRTB Engagement

Provided SME and implementation support to a top-tier South African bank on their Fundamental Review of the Trading Book. Delivery was focussed on defining benefits of the Internal Model vs Revised Standardised Approach for all asset classes, understanding the modelling points that could ease the capital impact, and developing approaches for tackling challenging areas such as Non-Modellable Risk Factors and Stressed Expected Shortfall. The activities driving these outcomes included independent regulatory opinion, modelling advisory, impact assessment, gap analysis, testing strategy and advisory around capital impact optimisation strategies

Regulatory Consulting (SACCR)

Implemented SACCR for a client, a Tier 1 bank in South Africa, helping them develop a method that replaced the current exposure method - the bank’s key driver for regulatory Potential Future Exposure.

Front Arena to Murex

Provided quantitative analysis and subject matter expertise for a migration of the credit derivatives trading platform from Front Arena to Murex. The migration from a legacy system entailed a complete rework of functionality in order to bring the credit trading platform in line with modern market conventions and best practices. Areas of advice, configuration and modelling included credit market conventions, pricing methodologies for illiquid credit markets across bonds and CDS, Credit Curve configuration for multiple flavours of CDS and liquidity aware pricing of Repos and Deposits.

Murex Environment Upgrades

Provided implementation support via quantitative analysis and development for the evolution of a number of Murex (Front Office and Risk) instances, primarily focussed on an FX Cash and Derivatives instance. The upgrade, spanning several versions of Murex entailed redesigning the Market Risk technical processes, implementing new curve and bootstrapping frameworks, changing option models from stochastic local volatility to local volatility, and providing a new aggregation framework for the end client.

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