Market risk is the risk of loss in balance sheet positions from adverse movements in market prices. In the wake of the recent financial crisis, Market Risk frameworks have gone through considerable changes which have made it mandatory for financial institutions to incorporate enhanced risk quantification techniques such as Stressed VAR, Incremental Risk Charge, Expected Shortfall as well as full review of the trading book.

Keeping in line with regulatory changes and portfolio requirements, our market risk modelling services provide full coverage of market risk including:
• Risk arising from all trading book positions
• Commodity and foreign exchange risk positions
• Interest Rate Modelling
• Derivatives Pricing Modelling

We use a variety of modelling approaches which include Monte Carlo simulation, Historical simulation, Extreme Value Method among others.