Capital Assessment Model

Our Capital Assessment Model* offers

  • Library of predefined reports with capability of customisation based on institution's requirements
  • Ability to conduct stress testing and scenario analysis
  • Capability of retail pooling and segmentation across geographies, product type, collaterals etc.
  • Ability to calculate specific and general risks for interest rate risk, including securities and derivatives
  • Netting module to allow netting of derivative positions as per RBI guidelines
     

Technology features

 
  • Graphical user interface-based
  • Data archival capability for audit/report generation
  • Data drill down capability across Basel II asset classes,
    geographies and entities
  • Enable rectification of erroneous data
     

Value-added features

 
  • Built-in statistical approaches for rating model
  • Audit trails of rating changes
  • Ability to develop institutional knowledge through access
    to scores of all rated companies in an industry
  • Ability to customise financial templates based on
    institutional needs

* Product is available separately or as a comprehensive package.

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Market Risk Consultancy

Market risk management consulting includes development and validation of risk measurement models, development of asset-liability management (ALM) framework, as well as the development of related policies and procedures.

Market Risk Consultancy

Gap Analysis

 

Diagnostic review of operational risk management practices as compared to industry best practices and regulatory guidelines
 

Policy & Procedure

 

  • Design and implement best-practices-based market risk management framework
  • Treasury process reviews and process reengineering
  • Preparation of market risk management and ALM policies

Model Validation

 

Validation of bank's internal models and other qualitative requirements

Measurement

 

Development of value-at-risk methodology

Asset Liability Management

 

  • ALM monitoring and reporting framework        
  • Liquidity and interest rate risk measurement and management framework
  • Framework for stress testing and funds transfer pricing

 

Asset-liability management (ALM) consulting covers:

 

 

 
  • Diagnostic review
    Review of organisation’s ALM-related processes, including risk management structure, underlying policies and procedures, and risk measurement and reporting frameworks.
  • Risk assessment & measurement
    Assessing extent of liquidity risk, taking into account gap reports, liquidity coverage ratio, net stable funding ratio and funding portfolio mix.     
  • Stress testing
    Includes scenario analysis and sensitivity testing to assess impact of macro-economic and institution-specific stress scenarios on liquidity and interest rate.
  • Risk control & monitoring
    A limit management framework is designed, taking into account risk appetite and tolerance levels, as well as underlying and prospective portfolio mix.
  • Risk-based decision-making
    Mainly is in the form of funds-transfer-pricing-related consulting, including methodology. In addition, the plan for capital allocation, taking into account the liquidity and interest rate risk impact, is defined.

Valuation

 

  • Valuation of derivatives
  • Valuation of other market instruments
  • Treasury performance assessment and monitoring framework

MarketRisk Rating Value at Risk Model Development

  • Assessment of internal and external data (including proxy data elements) used in the model to ensure completeness
  • Analysis of model assumptions
  • Analysis of mathematical calculations and underlying risk factors
  • Back-testing of data (past one year) at varying confidence intervals and sub-portfolios
  • Conducting tests on VaR model, based on hypothetical portfolios
  • Validation of model vis-à-vis benchmark/industry standard models

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