Market Risk

Ensure your models are resistant to all major and minor shocks in the market

Modelling & Validation

Market risk is one of the main risks borne by financial institutions. Proper measurement and management of market risks is of the utmost importance not just to be regulatory compliant, but also to optimize profitability. Within market risk, we have a vast experience creating and validating ALM models, IRRBB models, FX models and prepayment models. In our modelling process we make sure to build models that best suit the need of the client, without making matter unnecessarily complex. In our validation process we use our critical eye to safeguard that the model complies with the regulatory and internal standards of the client.

Data collection

Data and data quality is of paramount importance when developing market risk models. We believe that data of sufficient quality is the driving force that separates the good and the great market risk models. Together with our clients, we create datasets that are reliable, complete and usable to create robust, compliant models. By using RiskQuest's end-to-end market risk expertise, the focus lies on collecting data from various sources, understanding the collected data and transforming and aggregating data such that it is usable for intended modelling purposes. The process revolves around backtracing from the end-product dataset to the raw data sources, ensuring quality on every step of the way. By using RiskQuest's in-depth knowledge of models, methodologies and data architecture, we provide tailor-made data solutions for every model.

Model implementation

Model implementation stands between a model and its actual usage. It is at this stage that we consider how data flows through the model and how other applications and people will interact with it. Yet don’t make the mistake to only start thinking about implementation at the very end of the modelling phase, or you may find yourself with a conceptually stunning model that cannot be implemented. At RiskQuest we understand the importance of sound implementation and work towards a model that is not only great by design, but also usable in day-to-day business.

Combining our knowledge of models and IT, we are very suitable to implement the developed models in a robust manner in the IT landscape of the client.

Model governance

We help our clients to manage the risks related to the use of mathematical models in their day-to-day business. These risks refer to the chance of unintended consequences resulting from model development, inputs or outputs.

We achieve this by establishing Model governance which is a set of activities, policies and procedures that formalize model and model risk management activities for implementation. In particular model governance identifies a set of model stakeholders (e.g. model owner, model validator) and defines their roles within the process.

Over the past years, RiskQuest has contributed to the model governance policies for almost all of its clients being Dutch banks, insurers and pension funds.

Project management

Combining our knowledge and experience of risk models with our soft skills, RiskQuest offers project managers as well. We know what is required to get the various stakeholders aligned and make sure the colleagues involved in the project perform the tasks assigned to them.

Within proper project management, communication is key. This includes written and verbal communication, but also preparing and hosting presentations. We are involved from the initiation phase of the project to the completion.


Improving the IRRBB model at a bank

In order to be ready for the upcoming ICAAP, the IRRBB framework needed improvement

Hans Heintz