The Three Dimensions of Market Risk

Market risk is a necessary corollary to running any financial balance sheet. Most Financial Services Institutions find that they are undertaking market risk in three main dimensions:

• Proprietary trading activities, including both on-balance-sheet financial instruments and derivatives
• Embedded balance sheet-related activities, such as the banking book, interest rate risk and liquidity management
• Customer-related activities, including fund management, liability management programs, and tailored products

Quantitative techniques for the management of market risk continue to evolve, but the inter-relationship between different categories of risk (e.g. market-related credit exposures, and operational risks) can prove difficult to incorporate into the "pure" market risk models

Establish Policy and Processes for Market Risk

Quadrant's comprehensive policy architectures and review processes, tailored to the needs of each individual Financial Services Institution, provide the necessary balance between quantitative and qualitative risk management methodologies. Assignments cover:

• Development of strategy for wholesale financial institution strategy in the context of predominantly retail and commercial financial institution operations
• Definition of operating policy for dealing operations
• The development and enhancement of risk management policies, to incorporate model-based approaches
• Definition of regulatory compliance processes for market risk, and related capital adequacy requirements, including development of Trading Book Policy statements
• Analysis of capital utilisation and efficiency
• National-level work, including National Debt strategy, and EU legislation harmonisation