Financial Risk Management (FRM)

Capital Adequacy & Optimization

• Assist institutions in complying with capital adequacy requirements (CET1, T1, and T2 ratios) according to Basel III/ IV and local regulations
• Develop the ICAAP framework, focusing on risk strategy, business and RWA projections, Pillar II risk assessments, stress testing, and capital planning
• Analyze and optimize Risk-Weighted Assets (RWAs) to improve capital efficiency across credit, market, and operational risk categories, leading to better capital optimization
• Create short-term and long-term capital planning models that incorporate regulatory changes and stress scenarios
• Develop RAROC models to assess risk-adjusted profitability for business lines, products, and individual transactions
• Develop frameworks to allocate capital efficiently across business lines, products, and geographies

Strategic Asset Liability Management (ALM)

• Create frameworks for ALM to handle balance sheet risks such as interest rate risk, liquidity risk, and funding mismatches
• Analyze gaps in maturity mismatches and suggest strategies to improve net interest margins (NIMs)
• Build frameworks aligned with Basel III liquidity standards, such as Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR)
• Design stress-testing scenarios for liquidity shocks, incorporating macroeconomic and market-specific factors
• Analyze interest rate risks and develop strategies to manage sensitivity (e.g., duration gap analysis)
• Develop contingency funding plans for stress scenarios and test these plans to ensure they work effectively
• Design and implement FTP frameworks to allocate funding costs and profits across business lines effectively
• Create real-time dashboards for monitoring capital and liquidity metrics

Fundamental Review of Trading Book

• Build FRTB-SA sensitivity engine for Delta, Vega, andCurvature, enabling trade-level risk factor mapping and granular tenor-wise sensitivity generation across risk classes
• Implement capital aggregation and bucketing logic, including risk class segmentation, risk weight application, prescribed correlation structures, and liquidity horizon overlays
• Design and validate Default Risk Charge (DRC) framework for credit-sensitive instruments in the trading book
• Build and calibrate Residual Risk Add-On (RRAO) models for exotic instruments and structured products
• Develop FRTB compliant data architecture, integrating sensitivity sourcing, trade risk factor mapping, and regulatory classification
• Create governance frameworks for validation, performance tracking and back-testing of capital outputs

Market Risk Analytics

• Develop and validate VaR/SVaR models using historical, parametric, and Monte Carlo methods aligned to internal risk appetite and regulatory capital frameworks
• Design and perform Run stylized and historical stress tests across risk classes to capture nonlinearity, regime shifts, and tail-event impacts
• Implement robust backtesting frameworks with exception tracking, statistical coverage tests, and regulatory thresholds ensuring accuracy and regulatory compliance
• Design interactive dashboards for real-time risk analytics, scenario-based exposure tracking, and limit breach alerts across risk classes and business units
• Conduct yield profile diagnostics using DV01, key rate duration, and convexity to assess curve risk and IR shock sensitivity
• Design bespoke stress scenarios tailored to portfolio exposures, combining macro-financial triggers, historical analogues, and forward-looking shocks

Derivatives Pricing & Quantitative modelling

• Build risk aligned pricing models for vanilla and structured derivatives across multiple asset classes
• Implement valuation engines for instruments like forwards, futures, IRS, swaptions, and exotic options using Monte Carlo, finite differences, and lattice-based methods
• Model stochastic volatility and smile dynamics using BRW, SABR, and Hull White frameworks with real-time surface calibration
• Design fair value and mark-to-market models with scenario based testing
• Model sensitivities (Greeks) — Delta, Gamma, Vega, Theta, Rho — and incorporate them into risk-adjusted pricing and hedging strategies
• Provide quantitative support with model documentation, regulatory views, and audit walkthroughs
• Conduct independent model validation and benchmarking of pricing libraries in line with the market standards

Treasury Policy & Analytics

• Develop comprehensive product program guides detailing trade lifecycle, instrument eligibility, pricing conventions, and documentation standards
• Draft and refine treasury-related risk policies (hedging, mark-to-market, valuation adjustments, risk limits)
• Establish limit frameworks based on market sensitivities (DV01, PV01), exposure bands, stop-loss triggers, and escalation thresholds
• Conduct gap analysis of existing treasury policies vs leading market risk practices and global guidelines (ISDA, BCBS 239 guidelines)
• Set up pricing controls for revaluation triggers, stale price checks, and model-based valuation of illiquid instruments
• Define oversight protocols for market risk analytics, including roles for Market Risk, Treasury Front Office, and Independent Valuation Unit (IVU)
• Support policy documentation for various stakeholders, including detailed roles/responsibilities and escalation ladders

• Design or enhance the Operational Risk Framework to align with Basel, COSO, or ISO standards, ensuring compliance with local and international regulatory requirements
• Establish and digitize a robust Risk and Control Self-Assessment (RCSA) framework, supported by comprehensive risk registers covering both operational and emerging risks
• Develop effective Key Risk Indicators (KRIs) to proactively monitor current risk exposure, emerging trends, and potential control weaknesses
• Implement structured processes for capturing, analyzing, and reporting internal and external loss data
• Strengthen crisis preparedness by conducting targeted operational risk scenario analysis, including cyberattacks, system outages, and business disruptions
• Build interactive dashboards for real-time tracking of KRIs, loss events, incident resolution, and operational risk metrics
• Develop conduct risk policies and internal control mechanisms to ensure ethical behavior, fair customer treatment, and mitigate non-financial risks
• Deliver targeted workshops and training programs for senior management and staff, embedding a proactive risk management culture across the organization

For Regulators/ Supervisors

• Comprehensive overhaul of the supervisory assessment mechanisms to ensure effectiveness and alignment with global best practices
• Guidance and support in planning and executing theme- based inspections to address specific regulatory focus areas
• Assistance in the adoption and implementation of Supervisory Technology (SupTech) solutions to enhance regulatory oversight and efficiency
• Support refining regulatory guidelines for supervised entities and facilitating their effective implementation
• Organizing and conducting industry-wide consultation initiatives to gather insights and foster collaboration
• Providing representation in regulatory and industry committees to contribute to the design of policies, guidelines, and roll-out strategies
• Evaluating the market impact of proposed regulations to ensure balanced and effective outcomes
• Delivering customized training programs

For Financial Services Entities

• Regulatory lifecycle management from the set up of the regulatory reporting function, i.e., data mart design, data collection and validation to submission
• Assistance in the implementation of new regulations, regulatory interpretation and, validation checks across returns
• Support in alignment with regulatory changes and ongoing compliance
• Pre- and Post-submission validation: ensuring accuracy and consistency of data through rigorous checks before and after regulatory filings
• Assistance in BCBS 239 compliance, and remediation of regulatory matters/issues
• Functional support in the implementation of Regulatory Technology (RegTech) solutions
• Support in developing actionable MIS dashboards for CXO-level decision-making

• Establish governance and develop the ERM framework, aligned with the organization’s culture, maturity, and risk appetite, ensuring compliance with ISO 31000:2009 and/or COSO Framework
• Define and document risk appetite, ensuring alignment with organizational objectives and strategic goals
• Conduct ERM maturity assessments to evaluate the existing framework and help improve the effectiveness of risk management processes
• Facilitate risk identification workshops to engage stakeholders and identify principal risks across the organization. Assistance in developing scenarios to assess potential impacts of different risk scenarios/sensitivities
• Support in the implementation of an ERM Solution
• Setting up a system of monitoring the effectiveness of risk mitigation plans

• Assist the institution in implementing technology solutions related to:
• • IFRS 9, early warning systems, credit models, and scorecards
  • ALM processes and regulatory reporting
  • Capital Computation
  • Operational risk and Compliance monitoring
• Review existing processes, design business requirement documents, and liaise with the implementation partner for execution Develop a testing strategy and create test cases across various risk areas
• Conduct user acceptance testing and product acceptance testing before going live