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Risk Analytics

iMarkServ has vast experience in performing model validation activities for a wide range of models; we built / validated 550+ models in 2014 alone

Strong understanding of the regulatory guidelines that govern model validation, including OCC/SR 11-7 and FSA guidelines

Client assignments range from specific tasks within model validation process to taking full ownership of the entire validation exercise

Ability to understand complex mathematical and financial theories across a wide variety of models – valuation, risk and econometric

Involved in additional modelling-related activities that include model documentation, code review, and sensitivity analysis. Model benchmarking and template management

Valuation Models

  • Discounted models: Curved construction, interpolation techniques
  • PDE/Analytical models: Stochastic calculus, SDE/PDE, numerical techniques
  • Lattice-based models: Binomial/trinomial models, factor modelling
  • Simulation Models: Multi-factor modelling, recursive simulation, variance reduction

Risk Models

  • VaR models: Historical simulation, monte-carlo simulation, hybrid approach
  • PD/LGD models: Structural/cohort/reduced-form/statistical , credit VaR
  • Economic capital models: Business risk modelling, aggregate economic capital
  • Macro-to-micro models: Feedback effect, stress testing
  • Market Risk models: Exposure modeling, component modeling

Econometric/Statistical Models

  • Forecasting models: Linear/ non-linear methods and trend classification methods
  • Macroeconomic variable forecast models: as inputs to other models
  • Customer analytics models: Predict customer behavior, customer analysis
  • Fair Value models: of financial assets viz. FX
  • Macroeconomic relationship models: Asset spillover effects, contribution
Utility Based Solution

Leveraging on iMarkServ research and IT experience we were able to build a risk management support for an Asset Manager with the following functionality:

  • Provides flexible reporting tool to facilitate better and quick monitoring
  • Facility to upload third-party data such as Bloomberg, Capital IQ
  • Can generate a number of standard reports to monitor portfolios across funds
  • Ability to internally calculate BETA, liquidity risk and the investment risk for every fund, portfolio and security
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