Risk Management

Sector / All

Valuation, measurement, control and management of financial risk

  1. Valuation, fair value and exposition
    • Wide product catalogue: bonds(fixed, floating, callables, putables, hybrids…), deposits, repurchase agreements, cash, loans, stocks, mutual funds, etfs, indices, futures, options, currencies, forex, swaps, OTC derivatives, real estate..
    • Toolbox to generate structured and multi risk financial instruments.
    • Mark-to-model valuation and bonds, options and swaps calculator.
    • Portfolio measures: market IRR, purchase IRR, average spread, average rating, etc.
    • Multidimensional views: exposure, concentration and risk measures aggregate into different, single and combined, levels (asset type, currency, country, issuer, others…) .
    • Exposure analysis to different sources of risk and underlying sources.
    • Hedge and leverage portfolio analysis
    • Term cash-flow mappings.
    • Look through analysis: break-down for subportfolios, mutual funds, funds of funds, etf’s, sicav’s, benchmarks….
    • Portfolio exposure and risk analysis against a benchmark.
  2. Market, credit and liquidity risks measurement
    • Sensibilities: 1º and 2º order.
    • Disaggregate and aggregate probabilistic measures: Parametric and Historical VaR, Tracking Error (also parametric and historical), Component VaR, Tail VaR.
    • Individual contribution to the total risk under dynamic aggregation criteria.
    • Personalization of market and credit risk matrices: model, sample, segmentation, vertices.
    • Valuation of counterparty risk: Creditmetrics, CVA.
    • Illiquidity rankings and market depth tests.
    • Exposition, concentration and risk limits control. Personalization and verification processes.
    • Portfolio statistics and performance ratios.
  3. Stress test and simulation
    • What if analysis…?: Design of complete scenarios: historical or hypothetical. Interest rates movements (parallel or non parallel), credit spreads, rating(downgrades/upgrades), currency, implicit volatility, risk matrix….
    • Forced selling scenarios in different time horizons in order to quantify losses for illiquidity.
    • Personalization and automatization of scenarios, one factor, multifactor
  4. Risk control
    • Commercial, regulatory compliance and internal control reports.
    • Personalization and automatic reports generation