Risk & Analytics focuses on solutions for the capital markets business, covering services from strategic transformation to implementation. We offer an integrated delivery capability built around a core team with strong capital markets expertise, valuation, risk, and regulatory know-how, combined with a deep understanding of bank architectures, their dependencies and redundancies.
Currently we are especially focussed on the following topics and areas:
- Conception and implementation of internal risk management models
- Digital transformation in risk management with a dedicated focus on linking data sources and the automatization of processes.
- Valuation processes (Independent Price Verification, Prudent Valuation)
- Implementation of regulatory requirements with respect to measurement and management of quantitative risks (market, liquidity, credit risk and operational risk)
- Measurement of counterparty credit risk and calculation of associated valuation adjustments (xVA).
- New challenges and requirements with respect to derivative trading activities (e.g. bilateral initial margining, collateral management).
- Validation of risk and pricing models
- Economic P&L, P&L explain and P&L attribution
