Market Risk – Model Validations
For a ME-Asian Bank
CLIENT & PROBLEM STATEMENT
- The Client is a Middle East Asian Multilateral Bank in the Energy Financing business.
- Treasury team and Market Risk teams of the Bank.
APPROACH
- We implemented Derivator and Riskrator our systems for pricing & ongoing validation of pricing models.
- Derivator, a Derivative valuation and analytics tool was implemented.
- Riskrator, a Market risk monitoring tool was implemented.
SOLUTION & OUTPUT
- Currently the bank is monitoring market risk and derivative valuation completely on the system.
- The client is able to better manage its market risk and gaining substantially in the process on the investment portfolio.