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.
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:
- 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.
- 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.