Market and Credit Risk
Representative Services
- Current state risk assessments
- Future state and roadmap development
- Risk reporting development
- Key Risk Indicator (“KRI”) development
- Counterparty collateral analysis
- Creditworthiness assessments
- Credit risk reporting
Case Studies
Current and Future State Risk Assessment
A large global commodity trading company was interested in an independent perspective of how their trading operations, middle office and risk management group compared relative to their industry peers. This objective was accomplished through a thorough review of the organization’s current state capabilities across multiple key categories including people, process, technology, and governance. It also involved benchmarking the organization against industry leading practices and making recommendations to address gaps. The engagement concluded with the development of a multi-year roadmap to address the identified gaps and help the organization achieve its future state objectives.
Counterparty Collateral Analysis
A large wholesale and retail electricity company was interested in developing an analysis to demonstrate the advantages and disadvantage of trading over-the-counter versus on an exchange platform. The analysis was a required part of their capital budgeting process. The analysis centered on the simulation of potential future exposures related to all trading activities. It compared the outcomes of the trading activity under an over-the-counter only regime and an exchange-traded only regime. It also included varying combinations of exchange traded and over-the-counter traded portfolios. The outcome of the analysis included a better understanding of the potential capital required to support the trading activity and an improved trading strategy designed to produce margin posting requirements with fewer surprises.