Market risk management
Market risk management
The Market Risk Management System is a specialized platform for assessing, monitoring and minimizing financial losses caused by fluctuations in exchange rates, interest rates, prices of financial instruments and macroeconomic changes. It ensures compliance with regulatory requirements and capital protection in conditions of market volatility.
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Market risks are one of the key classes of financial risks that directly affect the stability of a bank's balance sheet.
The Market Risk Management Platform allows the bank to measure, control and forecast the impact of external fluctuations on trading and non-trading positions, including currency, interest rate, stock and commodity instruments.
Key functions:
- Calculation and monitoring of indicators: VaR (Value at Risk), CVaR, Greek letters (Greeks), delta positions;
- Analysis of the sensitivity of assets and liabilities to changes in interest rates (IRRBB);
- Modeling stress scenarios for macroeconomic and market shocks;
- Control of foreign exchange risk (FX risk) and limit management;
- Support for the trading book and banking book (Trading / Banking Book);
- Generation of reports in accordance with the requirements of Basel III, IFRS, the Central Bank and internal regulations;
- Integration with ALM, treasury, BI, DWH and risk reporting systems.
Who works with the system inside the bank:
- Market Risk Management
- Treasury and ALM group
- Financial Department
- Compliance and Internal Control Department
- IT and integration solutions architects
System owners:
- Chief Risk Officer (CRO) — strategic management
- Head of Treasury / ALM
- CIO/CTO - architecture and technological sustainability
What strategic objectives do the proposed solutions solve
Allows the bank to control the impact of macroeconomic factors and market fluctuations on financial results
Provides protection of capital from market volatility and unexpected external shocks.
Ensures compliance with regulatory requirements and internal policies on market risks
Automated calculations and reporting on VaR, limits, stress tests are the basis for sustainability and transparency.
Enables prompt revision of risk policies, limits and ALM strategies in response to changes in market conditions
The Bank maintains flexibility and adaptability in a dynamic environment.
Make working with documents simpler and faster
Who are the solutions suitable for?
Results after solution implementation
Increasing the resilience of the bank's financial model to market fluctuations and reducing the likelihood of unexpected losses.
Reduce regulatory and operational risks through a transparent, automated and verifiable assessment methodology.
The ability to make timely strategic decisions on managing currency and interest rate positions.
Processes are optimized, routine operations are automated, and employees have more time for truly valuable tasks.
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