Project Portfolio
Our success stories are not just anecdotes but a testament to our commitment to excellence and innovation. Our project portfolio showcases the depth and breadth of our expertise in quantitative risk and data analytics.
Explore the narratives of triumph that define our journey below:
Market Risk Analytics, Credit Risk Analytics & Reporting, and Model Validation
Fundamental Review of the Trading Book (FRTB) Standardised Approach
A prominent South African bank sought our expertise for the validation and deployment of an FRTB solution across their systems.
Our solution involved an independent desktop validation and implementation, aligning model valuations with BCBS 265 regulatory requirements. The result? The client successfully navigated the PA regulatory processes with confidence, meeting requirements and securing authorization within a reasonable timeframe.
VaR Migration & Model Validation
When a Tier 1 South African bank needed assistance migrating its risk management valuation and functionality to its trading system, they turned to us for expertise. Our solution involved meticulous model validation, valuation, and alignment of risk management metrics between the 2 systems, all within the stringent Basel regulatory framework.
Our team executed a comprehensive migration process, ensuring that model validation and risk management metrics were seamlessly integrated into the trading system. We provided training and support to the client’s risk management team, equipping them with the skills and knowledge needed to effectively utilise the new system for both risk management and regulatory reporting.
The result? Post-parallel run, the client’s risk management team was not only proficient but confident in using the trading system for all risk management and regulatory reporting requirements. Our solution not only facilitated seamless functionality between trading data and risk management processes but also empowered the client to operate with confidence in a complex regulatory environment.
Interbank Offered Rate [IBOR] Benchmark Reforms
Our approach involved meticulous validation of valuation and hedging models, ensuring compliance with regulatory requirements and industry best practices. We facilitated the sourcing and system remapping of the new benchmarks, enabling seamless integration into existing systems.
Additionally, we conducted comprehensive validation exercises on derivatives contracts to verify pricing and hedging accuracy across trading and risk management platforms. Through strategic implementation and rigorous validation, we empowered our client to meet the SARB requirements with confidence, paving the way for a smooth transition to the reformed benchmarks.
Market Risk Regulatory Reporting [BA325 & BA350]
We stepped in to streamline the process and safeguard regulatory adherence. Our comprehensive solution encompassed a thorough assessment of existing systems, including Calypso and Riskwatch, to identify potential gaps and risks.
This approach involved rigorous testing, validation, and reconciliation to verify the integrity of data across systems and guarantee compliance with regulatory requirements, including BA325 and BA350. Through strategic execution, we enabled our client to navigate the transition, mitigating risks and ensuring uninterrupted regulatory reporting.
BCBS 239 [Credit Risk, Enterprise Risk, & Treasury Risk]
In the dynamic landscape of risk management, we played a pivotal role in ensuring our client’s compliance with BCBS 239 regulations. With a focus on Risk Aggregation Data Reporting across all risk types, including market, credit risk, group credit, group enterprise, and group treasury risks, we implemented a comprehensive strategy to enhance regulatory adherence.
- Control Framework: We established a robust control framework encompassing reconciliation and data quality measures. This laid the foundation for a secure and compliant risk management ecosystem.
- Key Metric Unpacking: We unpacked key metrics, such as Risk-Weighted Assets and Economic Capital, providing clarity and transparency in assessing different risk types, including credit, operational, and market risks.
- Process Flow Design: To enhance operational efficiency, we developed a detailed process flow that outlined the interactions between people, technology / systems, and teams. This not only streamlined workflows but also ensured a synchronised approach to risk management.
- Data Lineages: Our implementation included the creation of data lineages, providing a clear and traceable path for data flow. This transparency enhanced accountability and facilitated adherence to regulatory requirements.
The value we provide goes beyond compliance; it extends to elevating our client’s risk management capabilities. By delivering these comprehensive solutions, we empowered our client to navigate the intricacies of BCBS 239 with confidence, setting the stage for a future-ready risk management framework.
Strategic Data Project [Credit Risk]
Our team embarked on a comprehensive journey, documenting process flows, data lineage, and business requirements. By leveraging our expertise, we developed tailored solutions that not only met the bank’s immediate needs but also laid the foundation for long-term success.
Through strategic automation and rigorous documentation, we empowered our clients to navigate the complexities of regulatory compliance with confidence. Our collaborative approach ensured that every aspect of the project was aligned with the bank’s objectives, delivering tangible value at every step.