We’re human, hard-working and believe in
cultivating real relationships with our clients.
Financial and Quantitative modelling is the fuel that drives us. Over the last 20 years, we have helped our
clients navigate the complex regulatory landscape to ensure compliance and create strategic advantage.
We advise on the tactical design of Strategies, Operating Models, and Architectures that deliver long-term value. This comes from a meticulous assessment of the economic impact of changes to the regulatory framework.
Riskworx provides on-the-ground resources that are solution-focused to drive successful outcomes for our clients.
We develop and deploy innovative solutions for our clients, leveraging our financial engineering expertise from 20 years of working with big banks. Technology allows us to create cost-effective solutions that are fit for purpose and based on best practice.
With the convergence of market risk, credit risk and liquidity risk, our clients are challenged with increasing complexity and having to do more with less. Overlay this with the shifting regulatory landscape and the rapid advances in technology and the future can seem daunting. The RiskLab is our applied research centre for tackling cutting edge financial risk and technology solutions that ensure our clients remain competitive.
Case Study 1
A Tier 1 South African bank commissioned Riskworx to design a Target Operating Model (TOM) for its Global Market interest rate curve framework.
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 as technology. The main purpose of the TOM is to enable an efficient multi-curve framework to allow for an accurate reflection of collateral and funding costs in derivatives’ valuation. As such, the TOM enables an optimised utilisation of the scarce resources that are funding, collateral and liquidity. This improves the efficiency of the Global Market business which can better leverage its funding and liquidity capabilities to support the development of additional activities. The project also included a business and technical architectural blueprint for implementation. Visit riskworx.com and our LinkedIn page
Case Study 2
Model Validation: A Tier 1 South African Bank was experiencing challenges with their Internal Model for Market Risk.
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 the model. Riskworx provided recommendations for the remediation of several models, ultimately improving the banks model back testing process and the quality of their capital numbers. Visit riskworx.com and our LinkedIn page
Case Study 3
Data Science (Market Data)
A Tier 1 South African Bank needed to validate the market data time series used in the Value At Risk (VaR) and Capital calculation processes.
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 networks), Riskworx developed tools to flag inconsistencies in the data set, supporting the validation process. The tools also suggest data fixes, alternative market data and predict VAR, P&L and ledger outcomes. Visit riskworx.com and our LinkedIn page
Case Study 4
Collateral, Funding and Discounting
A Tier 1 bank commissioned Riskworx to write a white paper on “Collateral, Funding and Discounting” in the modern-day context.
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 to address deficiencies based on a cost-benefit analysis. Visit riskworx.com and our LinkedIn page
Case Study 5
Internal Model Approach (Basel)
We partnered with a Top Tier South African institution to design and deliver, a market leading platform for market risk measurement under the Internal Model Approach (Basel).
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 system, we also implemented a robust, clean reconciliation between risk and finance, with a granular PnL attribution, and risk-based backtesting process which provide clear visibility on risk model performance and adherence to trading mandates at individual desk levels. Visit riskworx.com and our LinkedIn page
Case Study 6
Front Office Modernisation
A Tier 1 Bank engaged Riskworx to support them in the modernisation of their Global Markets business.
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. Riskworx helped the client transform risk from a compliance function to an analytics platform that provided the business with insights into risks in their trading books and risks in other bank divisions. Visit riskworx.com and our LinkedIn page