Market risk management

Banks have to overcome a variety of challenges in the measurement and management of market risks. From the ECB's TRIM (Targeted Review of Internal Models) audits and increased regulatory requirements in the context of CRR2/Basel IV, such as FRTB and SA-CCR, to current topics with a focus on cost efficiency in the area of market risk, such as efficient process design and organisational target images for the future.

Sound and integrated project management expertise

KPMG supports you in the implementation of these new requirements and enhancements from the preliminary study through to embedding in existing or new systems; from prototyping, IT-related technical concepts and interface specifications through to testing and knowledge transfer to the line. In addition to technical support, we offer sound and integrated project management expertise.

We have extensive experience in the area of market risk management and have supported numerous strategic and implementation-related projects on methods, processes and IT architectures in the areas of market price risk and counterparty default risk. In the context of regulatory requirements for risks from trading transactions, we have successfully supported our clients since Basel 2 with lighthouse projects in the German market on Basel 2.5, Basel 3, Basel 4 and FRTB.

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Well informed about current developments relating to risks from the trading business in banks.

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Overview of current market risk topics and our service portfolio:

Target Operating Model

We support you in analysing and deriving the target operating model for the market risk and valuation function and offer you comprehensive advice and benchmarking on all issues that arise (governance, functional models, cost reduction, specialist architecture, sourcing).
Target Architecture Landscape

In the area of market risk IT, we advise you both on traditional topics (IT architecture, data management, analytics & reporting) and on potential and implementation analyses for new trends such as real-time, cloud and platforms.
Market risk

We provide you with comprehensive advice on regulatory requirements (CRR, FRTB, EBA stress tests), methods and processes, from technical specification to implementation support.
Market data & quantitative methods

We can also provide you with expert support at any time for regulatory requirements relating to valuation processes (IPV, PruVal), market conformity checks and other issues relating to the procurement/utilisation of market data.
Counterparty risk & xVA

As experts in the area of the Capital Requirements Regulation (CRR), we can help you in the context of counterparty risk exposure calculation and the associated process and Risk management issues. We also provide you with comprehensive advice on xVA issues or RWA optimisation for trading transactions.

As a full-service provider, we cover all relevant aspects, from organisation and (IT) processes to regulatory requirements and quantitative methods, both technically and in terms of implementation. We also have extensive experience at the critical interface between business and IT and in managing large and complex projects.

Our team has many years of expertise in the areas of market risk, counterparty risk, valuation methods and infrastructure. We combine proven methodological expertise from a large number of projects in the market risk environment. We work closely with a network of first-class partner companies such as Informatica, IBM, Oracle and Microsoft. We also have access to the international KPMG network, which we can actively utilise at any time, e.g. for benchmarking issues.

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