Since the financial crisis, the area of market and liquidity risk has been a special focus of bank management. Moreover, supervisors tightened the requirements at the national and international (CEBS, BIS, Basel III) level. The quality of the results of liquidity and market risk management especially depends on pre-processing procedures, e.g. market data, cashflow generation and the correct representation of complex products. Only then it makes sense to measure interest-rate, stock, exchange rate, commodity and credit spread risks on the basis of sensitivities and VaR risk indicators and to work towards interest-rate risk management in a bank’s balance sheet.
Performance, consistency and accuracy of the market risk processes as well as efficient reporting are important factors for the success of market and liquidity risk management.
Based on our long-standing experiences in implementing projects in this field, we offer you practice-tested and flexible risk management advice. zeb/ delivers concepts and software for establishing appropriate measurement and control systems.
Our services:
- Market risk pre-processing: market data, cashflows, independent price verification (IPV)
- Market risk in the trading book: risk control, measurement and reporting
- Market risk in the banking book: integrated interest-rate risk controlling
- Integration into bank-wide management and P/L explanation
- Liquidity risk: modelling of capital commitment, risk control, measurement and reporting