Market and liquidity risk management
Market and liquidity risk management
Comprehensive advisory on market risk, liquidity risk and counterparty credit risk for financial institutions.
Market risk, liquidity risk and counterparty credit risk for financial institutions.
Effective financial risk management plays a key role in the creation of stable revenues from business activity of institutions, in particular in terms of stable funding and adequate hedging of external market risks. To meet market expectations, KPMG provides consulting services in the management of market risk, liquidity risk and counterparty credit risk of financial institutions.
In the area of market risk KPMG offers its clients a wide palette of professional services, encompassing all major financial markets (currency market, interest rate market, equity instruments risk and commodity price risk, including energy, gas, oil and other commodities). Among others the scope of KPMG advisory services includes:
Among others the scope of KPMG advisory services includes:
- Reviews and validations of market risk management processes (especially in terms of compliance with CRD IV / CRR, Solvency II, Resolutions and Recommendations of FSA / EBA / BCBS)
- Advisory and support in the development of methodology of market risk management, in particular:
- Measures of market risk (np. ESF, VAR)
- Stress-tests (internal and regulatory)
- Valuation methodologies (including CVA, FVA, OIS, CloseOut models)
- Reviews and validations of already existing methodologies
- Development and implementation of dedicated tools supporting the process of identifying, measuring and reporting market risk exposures and valuations (e.g. in SQL, SAS, R and MS environments)
- Support to the institutions with implementation of internal models for the purposes of determining capital requirements including development of methodologies and tools for verification and testing models, their documentation throughout the lifecycle and preparation applications to the FSA for their acceptance. Especially, the support involves:
- Option valuation models
- Internal VaR and ESF models
- Development and implementation of methodologies of model risk management in the field of market risk (according to FSA Recommendation W requirements) including methodologies and tools for model risk measurement as well as validation tools
- Substantive support to the institutions in projects of implementation of risk management systems from external vendors.
In the area of liquidity risk, KPMG offers in particular:
- Reviews of liquidity risk management processes (especially in terms of compliance with CRR, Resolutions and Recommendations of FSA / EBA / BCBS)
- Advisory services and supporting development of methodologies of liquidity risk management, in particular in the range of:
- Measurement and monitoring
- Reporting (including LCR, NSFR, ALMM, M1-M4)
- Emergency planning for liquidity
- Implementation of stress-testing plan, including support in construction/development of stress scenarios and modelling their effects
- Design/adjustment of models of deposit base stability (including model of stability in stressed conditions) and implementing replication portfolios
- Reviews and validations of used models and methodologies
- Design and implementation of methodologies of model risk management in the field of liquidity risk (in compliance with Recommendation W requirements) including methodologies and tools of model risk measurement as well as validation tools
- Comprehensive advisory on funds transfer pricing (FTP) systems, from the development of tailored model concept, by developing the concept of final implementation up to implementation in client’s own IT systems.