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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 inread more
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
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 (Parread more
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
A Tier 1 South African bank was experiencing challenges with their internal Market Risk model and engaged Riskworx to assist in addressing these challenges.
The Riskworx team performed a read more
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.
The existing model was read more
A Tier 1 South African bank commissioned Riskworx to write a white paper on “Collateral, Funding and Discounting” in the modern-day context.
Riskworx delivered a theoretical framework and a read more
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 establishread more
A Tier 1 South African bank commissioned Riskworx to design a Target Operating Model (TOM) for its Global Market interest rate curve framework.
The Riskworx team delivered a TOM read more