Financial Services Analytics

Treasury Analytics

Generating Smart Financial Insight Impact

Genpact has a highly talented and experienced treasury team with subject matter expertise in market risk analytics, credit risk analytics, collateral management, asset liability management, funds transfer pricing and liquidity risk management. The Genpact team works across different time zone enabling high end portfolio analytics to be made available before start of business, thus helping in formulating the day’s business strategy while working with the business through on-shore resources on real time basis.

The treasury analytics team provides solutions across various stages of risk management to help drive the profitable growth. Our solutions help organizations take risk based decisions at a balance sheet level through pricing complex derivatives, calculating Value at Risk, counter party risk, evaluating Potential Future Exposure, credit value adjustments and in building and developing risk management models. We also provide regulatory compliance and compliance services for the financial institutions to be compliant with various regulations such as Basel, Dodd-Frank act and Volcker’s rule.

We have a strong team working across the enterprise risk management function and our expertise spans across all areas of risk analytics including both quantitative and qualitative aspects of enterprise risk management.

Solutions

Our Treasury Analytics solutions can be summarized under:

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Market risk analytics and measurement

  • Sensitivity analyses of foreign exchange instruments, interest rates, basis spreads to address quantitative disclosures, trading risks, liquidity, and collateral requirements
  • Value at Risk Modeling using variance-covariance, parametric, non-parametric, and stochastic volatility methods
  • Risk attribution by risk factor, product, portfolio, and currency

Derivative Valuation

  •  Valuation of fixed income, equity, commodity, and credit derivatives
  • Pre-payment stress testing of MBS, ABS, CDO, and structured products
  • P&L attribution, price challenges, and cash flow analysis
  • Independent Price Verification (IPV) and product valuation of the portfolio
  • Yield curve modeling using sophisticated modern quantitative methods

Counterparty Credit Risk

  • Exposure management for derivatives portfolios
  • Exposure aggregation and grading as per the Internal Rating Model for the counterparty
  • Building Internal Rating Model and modeling Credit Value Adjustments (CVA) and Potential Future Exposure

Asset Liability Management (ALM)

  • ALM model build and development, GAP management, dynamic interest rate risk forecast, including earnings, net interest income, net interest margins, and earnings at risk
  • Economic Value Assessments, including key rate durations
  • Stress testing based on yield curve dynamics, pre-payment speeds, credit, and new volume spreads
  • Liquidity risk measurement

Risk and Compliance

  • Derivative exposure regulatory reporting during quarter ends—FIN 39, CVA, fair value disclosures for derivatives and off balance sheet risk instruments
  • Prospective and retrospective hedge effectiveness testing
  • Enterprise wise policy limit reporting of derivative position limits, Investment/Reverse Repo Limits and intercompany exposures
  • Process documentation with process maps, Standard Operating Procedures (SOPs), and data dictionaries

Model Validation

  • Model Validation scope definition and delineation
  • Qualitative Validations and Qualitative Validations
  • Testing, Sensitivity Analysis, and Stress Testing
  • Alternate Model building using parallel methodologies for the model

Impact

With more than 15 years of rich experience in financial services and analytics outsourcing, Genpact has been at the forefront of providing business impact to its customers through treasury and market risk analytics:

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