Risk Management Services
Market Risk Management
Generating Risk Management Impact
With its focus on end-to-end solution implementation, Genpact can provide all required Market Risk Management elements including services such as Value at Risk (VaR) Assessment, Scenario Analysis, Potential Future Exposure and Trading Support, Model Back Testing, Stress Testing, Correlation Analysis, and Volatility Correction. Moreover, our component-packaged services provide best-in-class quality at a lower cost.
We start by defining key risks and identifying performance benchmarks through VaR and capital-at-risk assessments. This enables us to pinpoint relevant controls and assess effectiveness against established benchmarks. By selecting the correct data for complete risk assessments we easily meet regulatory requirements for capital adequacy, solvency and liquidity, as well as for Basel II and Solvency II standards. And models are back-tested and stress-tested to ensure compliance and reduce regulatory costs.
A leading auto finance company faced major portfolio losses due to unprecedented macroeconomic changes. With no historical reference available, Genpact employed correlation-analysis to put the losses, and the changes that led to them, into actionable context. Based on current and lagging macroeconomic indicators identified, a multivariate time-series regression model was developed. Stress-testing further allowed for manual adjustment of any future perceived change in indicators. The final result was an automated tool able to perform what-if-analysis for different macroeconomic scenarios and losses. Macroeconomic projections helped adjust the forecast for short-term overall loss.