Deep Insights. Deep Expertise.

Riskworx / Blog

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

Riskworx Management
Written by Ashley Kanter 07 May 2021

Damiano Brigo on Systemic Risk and the Hedging of DVA

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, a bank selling protection on Lehman Brothers would have to pay out the settlement in the middle of the crisis, pushing it closer to default. …Read more

Riskworx Management
Written by Ashley Kanter 07 May 2021

Decisive SARB move on supporting liquidity regulations

With the liquidity coverage ratio looking to be implemented largely unchanged come 2015, the SARB approved this week a R240 billion rand emergency support facility, which will come into effect from January 2013. This reserve facility, represents a Level 1 asset for participating banks (as mentioned in Section 40 (b) of Basel III: International framework for liquidity …Read more

Riskworx Management
Written by Ashley Kanter 07 May 2021

The problem with calibration

Many options model papers propose an option model, derive a solution, or deal with the framework the model provides in which to price an option, and finally, detail how to calibrate the model to market data. This is equally true of many other derivatives models. So, what’s the problem with calibration? Consider a number of …Read more

Riskworx Management
Written by Ashley Kanter 07 May 2021

Controversial DVA

DVA is the controversial twin of CVA. The acceptence of DVA as a mark-to-market item on derivatives positions should be no more controversial than the acceptance of CVA. If one accepts that in a trade between institution A and institution B, institution A will mark-to-market CVA charges on their positions, then for there to be …Read more

Riskworx Management
Written by Ashley Kanter 06 May 2021

Enhanced CVA in the Cube

The upshot of our post on Wrong-Way Risk, is that it is entirely possible to need multiple views of CVA. The challenge is now that CVA, an already onerous calculation, may need to be calculated twice. Practically, we strive to reuse as much calculation between the two methods as possible. First, we deal with the regulatory …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.