Having embarked on a Front Office and Risk transformation journey, our Tier 1 South African Bank client needed to validate their newly implemented Interest Rate Risk for Front Office (Par Risk) solution.

Solution:
Riskworx embarked on a thorough validation of the client’s solution from first principles, across a broad product set, concentrating primarily on fixed income products and interest rate derivatives. The key focus of the validation was to determine the ability of the implemented curves to attribute Profit & Loss (P&L) according to observed market moves, as well as evaluating the alignment between Front Office risk, valuations and end of day risk.

“… according to observed market moves, as well as evaluating the alignment between Front Office risk, valuations and end of day risk.”

Value
Riskworx was able to demonstrate to the client that the implemented curves were indeed attributing P&L according to the observed market moves, and that there was alignment between Front Office risk, valuations, and end-of-day risk for risk management and regulatory reporting, enabling a single view of risk and valuation across the organisation.

The project was delivered on time and within budget and enabled the client’s Markets business to maintain its edge against its competitors.