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.

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.

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.

A Tier 1 South African bank was experiencing challenges with their internal Market Risk model and engaged Riskworx to assist in addressing these challenges.

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.

A Tier 1 South African bank commissioned Riskworx to write a white paper on “Collateral, Funding and Discounting” in the modern-day context.

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.

A Tier 1 South African bank commissioned Riskworx to design a Target Operating Model (TOM) for its Global Market interest rate curve framework.

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.