»We need to understand our VaR backtesting results.«
»We need to review our P&L predict/explain methodology for multi-currency portfolios.«
Even when all your valuation and risk management software is in place, the risk analysis of trades, structures and portfolios can be a challenge. Are the risk reports missing any risks? Or double-counting some? Are the models calibrated correctly? How sensitive are the results to the uncalibrated parameters? Are the calculations numerically stable?
Here are some typical examples of market risk analysis:
We analyse model risk too, for example: