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Capital markets

Capital Markets forms part of the Deloitte EMEA Quantitative Finance Group, a network of market risk and quantitative finance professionals.

Our team of experienced and dedicated professionals builds on this international platform with strong local and international market knowledge and quantitative financial modelling skills to assist our clients with the pricing and risk measurement of their market- and credit risk portfolios. We bring accounting, regulatory and industry best practice knowledge to deliver comprehensive market- and credit risk advisory solutions to our clients.

We offer our clients a comprehensive approach to address their valuation, risk management, accounting and regulatory requirements by assisting them with:

  • the improvement of existing pricing and risk management processes,
  • the implementation of new processes;
  • and independent process and model validation for financial reporting, regulatory (specifically Basel 2) and internal control purposes.

We assist our clients in the following areas:

  • Pricing validation and independent pricing of:
    • Primary financial instruments
    • Vanilla derivative instruments
    • Exotic derivative instruments
    • Embedded derivatives
    • Structured products
    • Employee share options
    • BEE transactions
  • Credit impairment modelling:
    • Retail credit
      • Credit scoring modelling
      • Calculation of PD, LGD, EAD and roll rates
    • Corporate credit
  • Hedge effectiveness modelling and review
  • SAS implementation and modelling
  • Risk modelling and quantification, including process and model validation:
    • Market risk
    • Credit risk
  • Capital and financial modelling
    • Economic Capital modelling
    • Economic scenario modelling
    • Stochastic modelling
    • Treasury and asset/ liability modelling
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