Market Risk Management

In the measurement and management of market risks, banks have to deal with a multitude of challenges. These include, among others, the TRIM (Targeted Review of Internal Models) reviews of the ECB, increased regulatory requirements in the context of CRR2/Basel IV, such as FRTB and SA-CCR, as well as current topics with a focus on cost efficiency in the area of market risk, such as efficient process design and organisational objectives for the future.

KPMG supports you in the implementation of these new requirements and enhancements, from the preliminary study to their incorporation into existing or new systems, and from prototyping, IT-related technical concepts and interface specifications to testing and knowledge transfer to the line. In addition to technical support, we offer sound and integrated project management expertise.

We have extensive experience in the field of market risk management and have supported numerous strategic and implementation-related projects with respect to methods, processes and IT architectures in the areas of market price risk and counterparty default risk. In the context of regulatory requirements for risks from trading transactions, we have successfully supported our clients since Basel 2 with lighthouse projects in the German market on Basel 2.5, Basel 3, Basel 4 and FRTB.

Target operating model:

We support you in analysing and deriving the target operating model for the market risk and valuation function and offer you comprehensive advice and benchmarking on all issues that arise (governance, functional models, cost reduction, specialist architecture, sourcing).

Target architecture landscape:

In the area of market risk IT, we advise you on classic topics (IT architecture, data management, analytics & reporting) as well as on potential and implementation analyses of new trends, such as real time, cloud and platforms.

Market risk:

We provide comprehensive advice on regulatory requirements (CRR, FRTB, EBA stress tests), methods and processes for challenges in the field of market risk, from the technical specification to implementation support.

Market data & quantitative methods:

We also support you at any time with our expertise in regulatory requirements for valuation processes (IPV, PruVal), market fairness checks and other issues relating to the procurement/use of market data.

Counterparty risk & xVA:

As experts in the field of the Capital Requirements Regulation (CRR), we help you in the context of counterparty risk exposure calculation and the related process and risk management issues. We also provide comprehensive advice on xVA issues or RWA optimisation for trading transactions.

As a full-service provider, we cover all relevant aspects, from organisation and (IT) processes to regulatory requirements and quantitative methods, both technically and for implementation. In addition, we bring extensive experience at the critical interface between subject-matter expertise and IT as well as in the management of large and complex projects.

Our team has many years of expertise in market risk, counterparty risk, valuation techniques and infrastructure. We combine proven methodological expertise from a large number of projects in the market risk environment. We work closely with a network of world-class partner companies, such as Informatica, IBM, Oracle and Microsoft. In addition, we have access to the international KPMG network, which we can actively involve at any time, e.g. for benchmarking issues.

Feel free to contact us!