Intraday Market Risk deep-dive analysis for a large Global Bank
Client : Large Global Bank
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Objective
To provide deep-dive analysis into intraday market risk generated from all business units for a global bank, with the goal of answering questions such as: Is intraday risk management useful for the particular cluster? Which risk metrics show significant movement? What is the frequency of movement?
CRISIL's Solution
Deep dive conducted at security/book level for each business unit to find the risk attribution due to various factors
Model accounts for correlation to market movement and impact of multiple risk metrics
Client Impact
Intraday risk reports highlighting various risk metrics, risk velocity and intraday limit breeches are accessible through easy-to-use risk dashboard
Results assist bank in evaluating the impact of future regulations relating to intraday risk (Basel 3/Dodd Frank)
Request for services
Questions
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