Financial Sector

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

Our offerings

We combine a practical approach and deep technical expertise on the following:

  1. Model & risk drivers assessment

    Analyse pricing models & risk drivers for decision–making

    Make better trading and investment decisions based on more accurate pricing models and analysis of risk drivers.

  2. Risk profile definition

    Capital impact and risk profile

    Understand how assets and portfolios impact capital requirements, profitability and the overall risk profile.

  3. Regulations’ impact assessment

    Regulatory uncertainty - areas of impact

    Assess the impact of regulatory reforms in order to guide business priorities.

  4. Strategic portfolio management

    Business strategy & Capital model impact

    Embed market and counterparty credit risk capital models to inform and enhance strategic portfolio management of market risk.

  5. Opportunities analysis

    Manage risk and opportunity

    Transform risk controls to generate intelligence and identify growth opportunities.

  6. Quantitative techniques for management strategy

    Use of quantitative approach

    Improve investment management strategies by using advanced quantitative techniques.

  1. Model & risk drivers assessment
  2. Risk profile definition
  3. Regulations’ impact assessment
  4. Strategic portfolio management
  5. Opportunities analysis
  6. Quantitative techniques for management strategy

Analyse pricing models & risk drivers for decision–making

Make better trading and investment decisions based on more accurate pricing models and analysis of risk drivers.

Capital impact and risk profile

Understand how assets and portfolios impact capital requirements, profitability and the overall risk profile.

Regulatory uncertainty - areas of impact

Assess the impact of regulatory reforms in order to guide business priorities.

Business strategy & Capital model impact

Embed market and counterparty credit risk capital models to inform and enhance strategic portfolio management of market risk.

Manage risk and opportunity

Transform risk controls to generate intelligence and identify growth opportunities.

Use of quantitative approach

Improve investment management strategies by using advanced quantitative techniques

Why Deloitte?

Global market leader

Deloitte has more than 300.000 employees working from across the globe. We are recognized as a global market leader within various risk areas – e.g. within cyber risk.

Dedicated specialists

We have a deep functional expertise within the various risk areas and the relevant sectors. We have considerable insight into the solutions successfully implemented at comparable companies and can therefore quickly identify the right solutions for you.

We work globally

As a starting point, we at Deloitte work in an integrated manner across borders. We mobilize employees all over the world depending on the required skills and the geography that needs to be uncovered.

Digital front runner

Our employees are leaders in the latest technology solutions. We use the latest technological opportunities in our solution design and are experienced in implementing technologies.

Reach out

Johannes Gauger Rebel

Director

Johan Philip Malan

Senior Manager