Market Risk and Pricing
Market risk is a mature discipline, but techniques continue to develop and institutions need to be able to price ever more complex products. Whilst the management of market risk has been at the forefront of banks’ thinking for many years, institutions such as hedge funds and traditional fund managers are increasingly paying more attention to developing their market risk practices. Market risk has also been subject to considerable regulatory change under Basel II and forthcoming regulation under Basel III.
We can help clients redesign their entire market risk framework or focus on specific areas such as:
- Market Risk Policy
- Methodology and Modelling (e.g. VaR, stress testing, Incremental Risk Charge)
- Market Risk Systems – selection, design or implementation
- Basel Regulations
- Organisational Structure and Processes
Pricing of complex transactions goes hand in hand with market risk. We can help clients to develop, validate and integrate pricing models. We have experience from vanilla to exotic products across all asset classes: e.g. rates, FX, credit and equity.
