With the advent of COVID-19 the market conditions started worsening further, one thing that became brutally obvious very early on during this unprecedented pandemic was that to succeed even under those adverse market conditions reliance on up-to-date risk information. At FRSPL we work on more integrated framework which is self-optimizing where outcomes are predicted based on transparent, business value driven insight rather than reactive remediation. Our Quants' team consists of experts who are specialized in the fields of Mathematics, Statistics, Economics, Finance, and the broader area of specialization viz. includes credit, valuations, and market risk.
Credit
Credit assessment is the assessment of the creditworthiness of a borrower, whether in general terms or with respect to a particular debt or financial obligation. The purpose of a credit assessment is to determine the likeliness that the borrower will pay back a loan within the confines of the loan agreement, without defaulting. At FRSPL our team of dedicated professionals are responsible for credit assessment, risk identification and mitigation for credit transactions across all the major asset classes including Country/Sovereigns, Corporates, Banks and NBFIs. We directly help the bank’s CIB business divisions through our in-depth credit analysis and manage the bank’s exposure and risks. In addition, we are also involved in the credit rating (PD and LGD) of these entities.
Market
At FRSPL our team of dedicated employees are performing set of processes and activities intended to verify that models are performing as expected, in line with their design objectives and business uses. This Effective validation helps ensure that models are sound. It also identifies potential limitations, assumptions, and assesses their possible impact.
Model validation includes the assessment of the model risk inherent in different pricing models, valuation models and risk models used across the bank. The team not only builds challenger models but also evaluates the conceptual soundness of an implemented model by assessing its performance in variety of market conditions and benchmarking it against the industry practices.
The team validates the valuation and risk models used across different asset classes, including exotic/structured products, traded in IR, FX, Equity, Commodities and Credit asset classes. Additionally, the team also validates the regulatory risk models (VaR/ETL, FRTB, SACCR, CVA, PFE, SIMM). 29th November 2023 The team works closely with Traders, Front Office, and risk managers to evaluate the plausible model risk and to mitigate the same.
Valuations
Valuation is the process of determining the value of a (potential) investment, asset, or security. Since the value of things fluctuates over time, valuations are as of a specific date like the end of the accounting quarter or year. They may alternatively be mark-to-market estimates of the current value of assets or liabilities as of this minute or this day for the purposes of managing portfolios and associated financial risk.
FRSPL helps in leveraging robust derivative valuation experience & deep understanding of valuations methodologies to resolve any valuation discrepancies arising from systems, models, and inputs. It also provides independent valuations, either for P&L or to inform business decisions. Reporting and engagement with multiple stakeholders across front office and back office and participates in enhancing valuations methodologies, processes, and controls to align with industry best practices.
Time Series Management
Time series analysis is used to determine the best model that can be used to forecast business metrics. Time series analysis helps organizations understand the underlying causes of trends or systemic patterns over time.
FRSPL is responsible for ensuring the completeness and correctness of the Time Series used for the generation of VaR/ETL and for other risk measures such as measuring margin adequacy for SIMM. We are also responsible for development and maintenance of the code for generation of feeds to the risk engine.
Risk Quant
We provide quantitative support for the risk engine of the bank by modeling new instruments onto the risk system as well as assisting front office traders and risk managers with any risk related requests or risk methodologies. We are responsible for the development and maintenance of Value-at-Risk (VAR)/ Expected Shortfall and other risk measures to manage the bank’s risk. We are also responsible for providing quantitative support for various regulatory/business projects on an ongoing basis.
Market Risk Management
Market risk management is the process of identifying and measuring risk arising from changes in the markets to which an organization has exposure to. Market risk encompasses the risk of financial loss resulting from movements in market prices The process of managing market risk relies heavily on the use of models.
At FRSPL We cater this to the desk mandate, manages the desk risk proactively and ensure completeness and accuracy of risk and P&L. We work closely with trading desk, product control and other risk units.
