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Market Risk

Improve market risk controls and comply with complex new and existing regulations – to get that competitive advantage.

Challenges

How do you improve market controls whilst complying with increased complex regulations?

The focus in capital markets is shifting towards understanding and managing costs plus achieving an efficient capital allocation - while maintaining an effective risk management framework.

How can established market risk functions improve the timeliness and accuracy of asset valuations and risk measurements whilst meeting the increased demands of regulators and control functions?

Deloitte works together with financial institutions to improve their market risk management framework going from the impact on banks’ solvency due to changes in prices affecting the trading book (FRTB) to changes in interest rates in the banking book (IRRBB).Here are few topics where

Deloitte can provide support and assistance to design, build and enhance:

  • Market and counterparty credit risk frameworks, governance and controls
  • Internal models, IMA, IMM and A-CVA
  • FRTB and SA-CCR implementation
  • Market-consistent pricing and hedging of financial instruments incl. XVA
  • Stress testing models & processes, incl. IRRBB
  • Market risk Model Risk Management
  • Quantitative modelling
  • Capital optimization