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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
As the future of swap clearing in South Africa remains uncertain, abroad the landscape has already shifted. CFTC regulations currently favour the trading of futures over swaps,
In November the read more
It goes without saying that there is a significant gap between theoretical quantitative modelling and it’s practical implementation. Black-Scholes does not allow for a volatility smile, no one actually expects read more
Speaking at the Risk Annual Summit, Damiano Brigo warned of the potential introduction of systemic risk by institutions hedging their DVA risk.
“If you think about this strategy in 2008, read more