A Tier 1 South African bank was experiencing challenges with their internal Market Risk model and engaged Riskworx to assist in addressing these challenges.

Solution:
The Riskworx team performed a full model review across all asset classes, including valuation, sensitivity, stress testing and historical scenario analysis, and an assessment of the parameters used in the model. Riskworx validated the full suite of models, identifying deficient models and processes, and providing recommendations for remediation of both models and processers. and assisted with the implementation of, the remediation of those models and processes identified as deficient, ultimately improving the bank’s model back-testing process and the quality of their capital numbers.

“Riskworx validated the full suite of models, identifying deficient models and processes, and providing recommendations for remediation of both models and processers.”

Value
Riskworx assisted the client with the recommended remediation exercise, ultimately improving the bank’s model back-testing process and the quality of their capital numbers.