Financial Crisis of 2007-08 exposed the repeated failure of regulators to keep pace with the innovation in the derivatives and marketable securities. The recent overhaul of the Market Risk regulations or FRTB (Fundamental Review of the Trading Book) finalized after long cycle of iterative industry consultations and quantitative impact studies is another attempt to rectify the earlier loopholes. 

Aptivaa’s advisory, analytics and techno-functional services in the areas of Market Risk & Counterparty Risk Management are custom designed to bank’s sophistication and portfolio complexity and sophistication. Our range of Market Risk Management services includes:

  • FRTB (Fundamental Review of the Trading Book) Gap, Impact Assessment, Program Design and Implementation support
  • Development/Review of policies, procedures and governance structure
  • Development/Review of analytical solutions for pricing of instruments (including non-linear instruments like exotic derivatives)
  • Development/Validation of Derivatives Pricing, VaR, EVT, Stress testing & CVA models.
  • Validation of treasury models and systems
  • IMA assistance ensuring compliance with local regulations
  • Market Risk Systems Vendor Selection Consulting
  • Accreditation Support: Preparing reports for banks during regulator ratification