Market Risk Consultancy

Asset Liability Management

• ALM monitoring and reporting framework        
• Liquidity and interest rate risk measurement and management framework
• Framework for stress testing and funds transfer pricing

Asset-liability management (ALM) consulting covers:

• Diagnostic review
  Review of organisation’s ALM-related processes, including risk management structure, underlying policies and procedures, and risk measurement and reporting frameworks.

• Risk assessment & measurement
  Assessing extent of liquidity risk, taking into account gap reports, liquidity coverage ratio, net stable funding ratio and funding portfolio mix.     

• Stress testing
  Includes scenario analysis and sensitivity testing to assess impact of macro-economic and institution-specific stress scenarios on liquidity and interest rate.

• Risk control & monitoring
  A limit management framework is designed, taking into account risk appetite and tolerance levels, as well as underlying and prospective portfolio mix.

• Risk-based decision-making
  Mainly is in the form of funds-transfer-pricing-related consulting, including methodology. In addition, the plan for capital allocation, taking into account the liquidity and interest rate risk impact, is defined.

Valuation

• Valuation of derivatives
• Valuation of other market instruments
• Treasury performance assessment and monitoring framework
  

MarketRisk Rating Value at Risk Model Development

• Assessment of internal and external data (including proxy data elements) used in the model to ensure completeness
• Analysis of model assumptions
• Analysis of mathematical calculations and underlying risk factors
• Back-testing of data (past one year) at varying confidence intervals and sub-portfolios
• Conducting tests on VaR model, based on hypothetical portfolios
• Validation of model vis-à-vis benchmark/industry standard models