Market Risk Modeling is one of the most researched and sophisticated area under risk management. Since the end of cold war, it has increasingly been dominated by quantitative experts leading to rise of complex derivatives and structured products.
Aptivaa has strong team of risk quants to help banks adopt best practices in the areas of Market Risk Modeling across typical asset classes and financial instruments. Our services include:
- Development and Validation of pricing models for equity, interest rate securities, derivatives and structured products/exotics.
- Development and Validation of models for estimation of VaR (Value at Risk), Rate curves, volatility surfaces, Greeks (risk sensitivities), Expected Shortfall and Stress Testing etc.
- Model Validation & Backtesting (Clean and Dirty P&L)