Unlock economic potential through
financial & quantitative modelling
Make risk-savvy financial decisions.
As a specialist financial and quantitative modelling consultancy, for over 20 years, we solve problems, deliver value, and build strong relationships with prominent global financial institutions, to ensure that they effectively navigate rapidly changing regulations and leverage technological developments to their advantage.
We advise on the design of strategies and operating models to deliver long-term value, backed by quantitative expertise and qualitative research.
Liquidity Risk & BSM
There is no learning without action and no action without learning.
In a constantly shifting and increasingly complex market and regulatory context, our clients are challenged to do more with less. The RiskLab applied research and development division draws on 20 years of excellence in quantitative finance to drive innovation and inspire cutting-edge financial risk and technology solutions that unlock significant value and ensure that our clients remain competitive.
We’re human, hard-working and believe in cultivating real relationships with our clients.
Case Study 1
Funds Transfer Pricing
Riskworx was approached by a consulting company that required our quantitative skills to build a multiple-pool approach Funds Transfer Pricing (FTP) model for their client, a Tier 2 bank in sub-Saharan Africa.Read more
Case Study 2
Earnings at Risk Model
A Ugandan bank needed a model to calculate their twelve-month Earnings at Risk (EaR) figures and allow them to apply non-parallel shocks to the interest rates influencing their Income Statement.Read more
Case Study 3
Interest Rate Risk For Front Office (Par Risk)
Having embarked on a Front Office and Risk transformation journey, our Tier 1 South African Bank client needed to validate their newly implemented Interest Rate Risk for Front Office (Par Risk) solution.Read more
Case Study 4
Having modernised and updated their internal Market Risk model, a Tier 1 South African bank needed to validate it across the full range of asset classes, to ensure its integrity.Read more
Case Study 5
Model Validation & Remediation
A Tier 1 South African bank was experiencing challenges with their internal Market Risk model and engaged Riskworx to assist in addressing these challenges.Read more
Case Study 6
IFRS9: Expected Credit Loss
Riskworx was approach by a financing company to review their model for calculating ECL (Expected Credit Loss) for the purpose of IFRS9 Credit Impairment reporting.Read more
Case Study 7
Collateral, Funding & Discounting
A Tier 1 South African bank commissioned Riskworx to write a white paper on “Collateral, Funding and Discounting” in the modern-day context.Read more
Case Study 8
Data Science – Market Data
A Tier 1 South African bank needed to validate the market data time series used in their Value at Risk (VaR) and Capital Calculation processes. They also needed to establish control methodologies around the market data time series.Read more
Case Study 9
Multicurve Frame Work
A Tier 1 South African bank commissioned Riskworx to design a Target Operating Model (TOM) for its Global Market interest rate curve framework.Read more
Case Study 10
Model Validation Framework – FRTB (Fundamental Review of the Trading Book)
A Tier 1 South African bank engaged Riskworx to build an FRTB model validation framework to support a new Risk Engine implementation, as part of the bank’s Basel IV programme. The scope included performing a regulatory Quantitative Impact Study (QIS) and reviewing the methodology, modelling, and assumptions.Read more
Our Clients & Partners
Rooted in Africa, our multi-cultural, multi-disciplined, multi-skilled team works with clients across the globe.
No matter where you are or what challenges you’re facing, effective solutions all start with a conversation. So let’s have one today.