Deep Insights. Deep Expertise.

Riskworx / Blog

Riskworx Management
Written by Caitlin 06 Sep 2021

Spotlight on Climate Change and Economic Growth

Both economic growth and climate change are topics interconnected topics of essential significance. So, we’re taking a closer look at how climate change and economic growth intersect to understand how they impact one another.    The state of the climate in 2021  According to Ralph Keeling, head of the CO2 programme at the Scripps Institution of Oceanography, in …Read more

Riskworx Management
Written by Caitlin 29 Jul 2021

Machine Learning: What It Really Is & Why It’s Important

With technology playing a more prominent role in our lives each day, you’ve probably heard the term ‘machine learning’ thrown around – but do you know what it means or why it is important? While some of you are answering yes to these questions, there are just as many who aren’t quite sure about machine …Read more

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

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

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

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

Older Posts

1 2 3

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.

  1.  
  2.  

At our core, we’re problem-solvers, We add a dose of humanity to
Financial and Quantitative Modelling to provide answers and overcome challenges.

Thank you!

One of our agents will be in touch within 24 hours to discuss your requirements.

Close

Contact us.

Riskworx is a boutique consultancy
that specialises in Financial and
Quantitative Modelling.

Get in touch. We’ll reach out as soon as we’re able to.

  • There was a problem, please review your details

Fill out this form.