Market Risk

Feeling the Pressure in Market Risk Management?

Risk Reward consultants include an impressive team with deep and meaningful market risk experience. This experience ranges from the modelling to the processing end of the market risk cycle. With technical experts in foreign exchange, futures and forwards, options and swaps, commodities and complex derivative products, we are able to provide banks and financial services institutions with a complete service addressing all of the market risks that they face in practice.

Specific areas of our expertise include:

• Interest rate risk management
• Market risk management
• Equity pricing risk
• Bond pricing risk
• Commodity pricing risk
• Currency risk management
• Property and portfolio risk management

We provide the following consulting services:

• Conduct a review of trading strategies
• Develop and review reporting suites
• Conduct a review of limit structures
• Provide advice and guidance
• Develop, review and calibrate market risk models
• Conduct a review of the adequacy of dealing room controls
• Develop and review pricing models
• Review modelling assumptions
• Conduct a review of derivative documentation

Who is challenging Market Risk Reporting?

At Risk Reward our practical approach to market risk enables our consultants to effectively communicate complex issues to senior management. We also offer independent experts that can be used to supplement your existing independent resources, for example as an additional non-executive director, providing a higher level of review and investigation as required.

Dealing with Stress Events

Another area where significant assistance can be provided is in the area of stress testing. For many firms even identifying suitable stress events that meet the Basel soundness standard for market risk can provide a challenge. Designing a solution that appropriately evaluates such a stress event is even more complex. At Risk Reward we have been developing market risk stress scenarios for seven years and are well versed in the issues that arise in practice.

Designing techniques to overcome the level of uncertainty and the weakness of data sets, we are able to implement cost-effective stress testing approaches that attempt to identify the impact of future plausible yet unlikely events.