Market Risk Management Advisory

Solutions

Market Risk Management Advisory

Working together to deliver  

Deloitte assists our clients with a full lifecycle of market risk management services and related activities, including Model Validation, Pricing and Valuation, Counterparty Credit risk and Market risk regulatory compliance across different asset classes: Foreign exchange, equity, interest rates, credit, securitised products and commodities.

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How Deloitte can help

Deloitte Risk Advisory helps our clients with the development, strategy, and technology to develop a holistic market risk management framework through:

Model validation

  • Confirming model accuracy through validation of input data, model assumptions and statistical correctness for APS 116
  • Validation of risk and Comprehensive Capital Analysis and Review (CCAR) models.

FRTB implementation

  • Guidance on Market risk capital calculation methodology to incorporate changes prescribed to Standardised Approach and Internal Models Approach
  • Capital impact, optimisation, and business strategy, P&L attribution, associated enhancements in back-testing framework, and target operating models.

Asset liability management

  • Strengthening liquidity risk and IRRBB framework (APS 117) incl. Basel III Liquidity Coverage Ratio (LCR) / Net Stable Funding Ratio (NSFR) and intraday liquidity aspects
  • Funding strategy & contingency plans.

Counterparty credit risk

  • Strengthening rating models and validation of risk factors & weightages
  • Development / validation of corporate credit models in line with BIS WP14 / APS 112 / APS180 / APS 220 / CPS 226. 

Regulatory compliance and testing

  • Compliance requirements & controls across geographies and business lines
  • Periodic compliance assessment and testing as per regulatory expectations.

Contact us

Rita Gatt

Rita Gatt

Partner, Risk Advisory

Rita is an experienced strategic advisor and qualified statistician specialising in risk analytics and financial risk. She has significant experience working predominantly in risk in the areas of mode... More

Sean Moore

Sean Moore

Partner, Risk Advisory

Sean has over 20 years’ experience within institutional and investment banking. At Deloitte, Sean is focused on providing his in-depth experience and expertise to financial institutions on Risk, Techn... More