emagine provide a full range of functional capabilities including, quantitative model development, model validation, methodology design, model risk control and pricing. We deploy specialist business analysts, project managers and programme managers to implement methodology changes, risk engines, pricing libraries, target operating models and business process architecture. Our market leading practitioners list of expertise include, risk data aggregation, risk data governance and operational risk and control.
Our clients’ partner with emagine’s subject matter experts to deliver changes to the following regulatory mandates; MiFID II, BCBS 239, BCBS 261, FRTB [DRC, ES], IRC, CCAR, IMM, CEM, SA-CCR, CRD IV, IFRS9, A-IRB.
emagine’s current thematic focuses include:
- Market risk
- Methodology change – VaR (HisSim, MC Sim, Var-CoVariance, SVaR)
- Pricing model implementation - Full-Reval, Sensitivity Based (Greeks), Risk Based PnL
- FRTB, DRC/IRC, Volcker, FDSF
- Banking/Loan book – Credit risk (PD, LGD, EAD, PIT/TTC, CECL, IFRS9)
- Counterparty Credit Risk CVA-EPE-PFE
- Collateral/Margin rules - MPoR, SiMM, IOSCO/BCBS261
Enterprise Risk (Treasury and Capital Management)
- Capital Management, RWA, CRD IV, ICAAP
- Economic Capital - xVA (CVA, FVA, DVA, ColVA, KVA)
- Liquidity Risk - ALM (LCR-NSFR-ICAAP-NII-IRR)
- Stress Testing – Counter-cyclical buffers
For more information, download emagine's Risk and Regulation factsheet or check out our Assurance TestingPractice.