Business lead: Risk projects

Advanced analytics capabilities for the FRTB Standardised Approach and Internal Models Approach

Aggregation engine for the calculation of CVA risk capital requirements according to the SA-CVA and BA-CVA approaches

Calculators to compute common market risk metrics like VaR and Expected Shortfall

Monitor limits in real time and run what-if simulations and pre-deal checks. Build or define new limits to monitor on the fly. Drill down to

Slice, dice, filter and segment loans to identify patterns such as probability of default and investigate the cause of a change in the potential default

Match interest rate sensitive assets and liabilities and manage long-term risk, fluidly. We’ll help you create a negative interest rate scenario and look at the

Match your cash outflows with available liquidity sources within a certain time frame to meet your requirements. See funding gaps between assets and liabilities and

Run daily precise calculations and reconciliations of trade and position valuations.

Calculate and decompose risk drivers at any level and instantly see results. Anticipate the credit risk capital impact of new trades and deliver a precise

Integrate data from multiple sources and use in-memory database to produce non-linear calculations and multi-dimensional analysis of VaR, Cvar, HVaR, TVar, MVar, Stress VaR and