For us managing risks means: Securing your business model against negative influences.

Future requirement for change in modelling the capital requirements for the market risk makes far-reaching adjustments necessary. We ensure that the focus is on your business model during implementation.

Our emphasis regarding market risk:

  • Market price risk in the trading book (FRTB, BCBS 352)
  • Market price risk for counterparty risk (CVA Risk Capital Charge, BCBS 325)
  • Interest risk in the banking book (IRRBB, BCBS 368)

Use our long-standing experience when implementing regulatory requirements and quantitative models.  Here you benefit from our extensive knowledge of the capital market business.  This helps you not only to fully understand the implications for your business model but also to position yourself optimally in the new situation.  We support you in comprehensive projects in the design of IT systems and business processes.  We are also the right partner to turn to for implementing special issues such as the modelling of sensitivities for complex financial instruments and the development of alternative hedging strategies.

Our consultants support you in projects such as

  • Analysis of the effects of regulatory changes on trading and treasury activities and support in developing a new target structure
  • Independent analysis of the capital requirements as well as identification of the main drivers and savings potential in a changing regulatory environment
  • Development, implementation and integration of the changed market risk models

Everything is pointing to standardization

Some of the core points of the new constraints vis-à-vis market risk are:

  • Mandatory implementation of standard approaches for all institutions independent of their use of internal models; disclosure of results is under discussion
  • Introduction of minimum capital requirements (capital floors) based on the corresponding standard approach if internal model methods are used
  • Sensitivity-based methods in the standard approaches under FRTB and CVA Risk Capital Charge