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Market Risk Management is another critical pillar in Risk Management function for banks that either have or intend to have proprietary, active positions in their Trading Book. Of all the risk factors affecting a bank, Market Risk factors viz. Interest Rates, Equity, Currency and Commodity Prices are the most volatile, requiring a highly disciplined, real-time Risk Management system. With Volume, Velocity and Frequency of data, Market Risk is the most advanced of all the Risk Management Systems as of date thereby making it important for banks to have a robust framework that allows it to Measure, Monitor and Manage the Market Risk

AstraGinger’s expert consultants help banks in delivering

1.   Diagnostic Gap Analysis for Market Risk Management Framework

2.   Market Risk Management Procedures & Templates

a.   Procedures including templates for calculating Value-at-Risk (VaR) for trading       book exposures under the following approaches:

  • Historical Simulation method
  • Variance-Covariance method

b.   Procedures for Interest Rate Risk Measurement based on:

  • Sensitivity to Net Interest Income
  • Sensitivity to Economic Value of Equity

3.   Reporting and Senior Management Dashboards