For any organisation with a trading portfolio market risk would be a significant component of total financial risk. Market risk is managed through risk management policies, monitoring and setting limits for portfolio exposures, and implementing market risk calculation systems.
We can assist your organisation with:
- Reviews of current market risk management policies and practices
- Development of hedging and exposure limits
- Reviews of current methodologies and systems for valuation and risk metrics such as Mark to Market (MTM), Earnings at Risk (EaR), Value at Risk (VaR), Extreme Tail Loss (ETL), and stress scenarios
- Review or development of business requirements for market risk analysis systems
- Alignment of price signals between the wholesale and retail businesses to market risk management costs
- Development of market risk monitoring and reporting methods