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Multi-curve Framework: The TOM covers all aspects of the Global Market business relating to interest rate curves: organisation, including people and skills, governance and control, functions and processes as well read more
Model Validation: Riskworx was engaged to perform a full model review across all asset classes, including valuation, sensitivity, stress testing and historical scenario analysis, and an assessment of parameterizations within read more
They also required the development of control methodologies around the market data time series. Leveraging data science (market data) techniques (Long short-term memory (LSTM) neural networks, autoencoders and convolution neural read more
Riskworx produced a theoretical framework and a view of the best practice operating models to manage discounting risk and collateral cost. Riskworx then reviewed the existing framework and provided recommendations read more
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 read more
Riskworx were responsible for refactoring the risk environment to improve the analytical capabilities provided by risk, the migration of positions, trading and the risk environment, and engagement with the regulators. read more