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Ashley Kanter
Riskworx Management
Written by Ashley Kanter 07 May 2021

Back to the Future

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 CME launched a physically settled interest rate swap future, based on the    patented contract developed by Goldman Sachs in 2007. Under current CFTC regulations, …Read more

Ashley Kanter
Riskworx Management
Written by Ashley Kanter 07 May 2021

Financial Engineering: Theory and Practice

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 local volatilies to be realised and the square route in the Heston volatility process is chosen more for practical implementation considerations, than out of consideration …Read more

Ashley Kanter
Riskworx Management
Written by Ashley Kanter 07 May 2021

BIS Stands Firm on Stance on DVA

The Basel Committee’s final ruling on the treatment of valuation adjustments to liabilities are out, and they reaffirm the derecognition from Tier 1 capital of changes in DVA. “the Committee believes that valuation adjustments to derivative liabilities raise a wide range of prudential concerns, and therefore that conservatism should drive the policy framework in this …Read more

Ashley Kanter
Riskworx Management
Written by Ashley Kanter 07 May 2021

VaR Is Dead, Long Live Sort-Of-VaR

It’s now old news that the Basel Committee are considering scrapping VaR in favour of expected shortfall. Expected shortfall is the expected or average loss given that the loss exceeds the VaR figure. It’s an indication of how big a loss might be, conditioned on the loss being large. The recommendation then for expected shortfall over VaR is …Read more

Ashley Kanter
Riskworx Management
Written by Ashley Kanter 07 May 2021

Calibration Continued – The Straw Man Edition

Revisiting our post on calibration, there’s a fairly stupid example, that at least illustrates the opportunity cost of letting other people analyse your data for you (and callibrating to their prices rather than making your own). Suppose there is a share trading with a return of 10% and a volatility of 0. A common approach …Read more

Ashley Kanter
Riskworx Management
Written by Ashley Kanter 07 May 2021

Matt Levine on Basel III

Or rather, Matt Levine on the Fed on Basel III. An interesting discussion around the rules regarding the mark-to-market of available for sale securities, and the potential (dis)incentives around consumer lending.Read more

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Case Study 1

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 Models Approach.

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.

Case Study 2

Front Office Modernisation

We partnered with a Top Tier South African institution to design and deliver, a market leading platform for market risk measurement under the Internal Models Approach.

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.

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