Having modernised and updated their internal Market Risk model, a Tier 1 South African bank needed to validate it across the full range of asset classes, to ensure its integrity.

Solution:
Riskworx conducted this validation, covering valuations, sensitivities, stress testing and historical scenario analysis, as well as assessing appropriateness of parameterisations and scenario generation methodologies.

“Riskworx provided the client with a complete validation, together with clear documentation of all pricing functions and risk processes.”

Value
Riskworx provided the client with a complete validation, together with clear documentation of all pricing functions and risk processes. In addition, Riskworx provided reusable spreadsheet-based models that the client could use to improve their understanding of the models, as well as streamlining any future validations.