Economic Capital for Market Risk
Client:
Major Dutch Bank
Client Requirement:
The client was embarking on an initiative to improve the methodologies used in measuring the bank’s exposure to market risk from an economic capital perspective. The client wanted to identify any deficiencies in its existing approach and to ensure that any developments made were in line with market best practice.
Our Engagement:
InteDelta was engaged by the client to undertake a market intelligence study amongst the bank’s peers and benchmark its practices against this survey. The survey incorporated the full range of market risk measurement techniques such as VaR, incremental risk charge and stress testing.
As part of the benchmarking phase, we reviewed the market risk policies and methodologies the bank was utilising, undertook a benchmarking and gap analysis exercise against the results of the survey and produced recommendations for the remediation of these gaps.
Our Approach:
Utilising our market risk subject matter expertise and our extensive network across the financial services sector we produced and conducted a detailed study of the approaches for measuring market risk adopted by the client’s peers.
In benchmarking the client against this we reviewed its existing processes in great detail and supplement the results of the survey with our own expertise of best market practice in order to identify the deficiencies in the client’s existing approach and make recommendations for remediation.
Business Benefits:
Through leveraging InteDelta’s expertise and proven benchmarking methodology, the client ensured that the developments made its market risk measurement approaches were in line with market best practice standards and delivered true business benefit.
