Market Risk Analytics

Market risk is the risk that changes in financial market prices and rates will reduce the value of a security or a portfolio. In trading activities, risk arises both from open (unhedged) positions and from imperfect correlations between market positions that are intended to offset one another from hedging perspective.

We are constantly innovating to meet the latest changes in market risk such as extreme value theory, reverse stress-testing, incremental default charge, Basel III revised standard capital charge and latest guidelines known as ‘Fundamental review of Trading Book’ (FRTB).

Please also refer our offerings to help our clients to comply with FRTB requirements.

• Value at Risk Modeling using variance-covariance, parametric, non-parametric, and stochastic volatility methods, across different type of asset classes and instruments.
• Multi factor Risk attribution modelling.
• Sensitivity analyses of foreign exchange instruments, interest rates, basis spreads to address quantitative disclosures, trading risks, liquidity, and collateral requirements.
• Measurement of risk sensitivities, correlations and VaR in the investment portfolios of our clients.
• Valuation of complex instruments, especially mark to model valuation instruments which are not traded frequently.
• Independent validation of market risk assessment models, along with testing of boundary conditions and underlying assumptions.