A Tier 1 South African bank commissioned Riskworx to write a white paper on “Collateral, Funding and Discounting” in the modern-day context.Read more

A Tier 1 South African bank needed to validate the market data time series used in their Value at Risk (VaR) and Capital Calculation processes. They also needed to establish control methodologies around the market data time series.Read more

A Tier 1 South African bank commissioned Riskworx to design a Target Operating Model (TOM) for its Global Market interest rate curve framework.Read more

A Tier 1 South African bank engaged Riskworx to build an FRTB model validation framework to support a new Risk Engine implementation, as part of the bank’s Basel IV programme. The scope included performing a regulatory Quantitative Impact Study (QIS) and reviewing the methodology, modelling, and assumptions.Read more

With the mainstream appeal of cryptocurrencies surging in the last few years, many investors are looking to add this alternative asset class to their portfolios.  Those looking to gain exposure have two options – own the underlying asset or invest in financial products whose value is closely related to the performance of the underlying asset. …Read more

SARB Interest Rate Benchmarks: Over the last 3 years, banks across the globe have been planning and adjusting to the introduction of new Risk-Free Rates (RFRs) such as USD SOFR, EUR ESTR, and GBP SONIA. The effects of RFR reform are far-reaching, with impacts on derivative contract pricing and hedging, as well as tax and …Read more