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"Tag: Case Study"
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.
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A Tier 1 South African bank commissioned Riskworx to design a Target Operating Model (TOM) for its Global Market interest rate curve framework.
Solution:
The Riskworx team delivered a TOM 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
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A Tier 1 South African bank commissioned Riskworx to write a white paper on “Collateral, Funding and Discounting” in the modern-day context.
Solution:
Riskworx delivered a theoretical framework and a read more
Riskworx was approach by a financing company to review their model for calculating ECL (Expected Credit Loss) for the purpose of IFRS9 Credit Impairment reporting.
Solution:
The existing model was read more
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 read more
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.
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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
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A Ugandan bank needed a model to calculate their twelve-month Earnings at Risk (EaR) figures and allow them to apply non-parallel shocks to the interest rates influencing their Income Statement.
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Riskworx was approached by a consulting company that required our quantitative skills to build a multiple-pool approach Funds Transfer Pricing (FTP) model for their client, a Tier 2 bank in
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Case Study 1
Multi-curve Framework
Multi-curve Framework: The TOM covers all aspects of the Global Market business relating to interest rate curves: organisation, including people and skills, governance and control, functions and processes as well read more
Multi-curve Framework: The TOM covers all aspects of the Global Market business relating to interest rate curves: organisation, including people and skills, governance and control, functions and processes as well read more
Case Study 2
Model Validation
Model Validation: Riskworx was engaged to perform a full model review across all asset classes, including valuation, sensitivity, stress testing and historical scenario analysis, and an assessment of parameterizations within read more
Model Validation: Riskworx was engaged to perform a full model review across all asset classes, including valuation, sensitivity, stress testing and historical scenario analysis, and an assessment of parameterizations within read more
Case Study 3
Data Science (Market Data)
They also required the development of control methodologies around the market data time series. Leveraging data science (market data) techniques (Long short-term memory (LSTM) neural networks, autoencoders and convolution neural read more
They also required the development of control methodologies around the market data time series. Leveraging data science (market data) techniques (Long short-term memory (LSTM) neural networks, autoencoders and convolution neural read more
Case Study 4
Collateral, Funding and Discounting
Riskworx produced a theoretical framework and a view of the best practice operating models to manage discounting risk and collateral cost. Riskworx then reviewed the existing framework and provided recommendations read more
Riskworx produced a theoretical framework and a view of the best practice operating models to manage discounting risk and collateral cost. Riskworx then reviewed the existing framework and provided recommendations read more
Case Study 5
Internal Model Approach (Basel)
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 read more
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 read more
Case Study 6
Front Office Modernisation
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. read more
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. read more