Risk Measurement

Risk Measurement as a managed service provide you with state-of-the-art market risk and performance analysis in combination with reporting services.

Risk Measurement

We help you manage the requirements regarding internal control and governance of risks, both from a regulatory and business perspective. Together, we ensure adequate risk management and control of risks.

We provide our services based on the platform ARMS. By accessing a highly advanced risk system combined with professional advisory as a service you will get better insight and more relevant analysis in a cost efficient way.

Market risk calculations

We help you manage and control your market risks both from an internal control perspective and the ever-evolving regulatory landscape. FCG’s Risk Measurement services can deliver market risk calculations and reporting services for a broad range of issues, for instance:

  • VaR including stressed VaR and cVaR
  • Stress testing and scenario analysis
  • Interest rate risk in the banking book with extensive modelling capabilities, full support of EBA IRRBB guidelines for EVE and NII
  • Calculations of Pillar 2 credit spread market risk capital requirements
  • Capital requirement calculations for market risk under IORPII and FFFS 2019:21 regulations including market risks from technical provisions
  • Liquidity risk analysis for fund companies

Performance calculations

Understanding your portfolio performance is vital. It is also challenging and heavily relying on advanced system support. We help you calculate performance and analyze contribution and attribution levels to understand the drivers of the overall performance.

The combination of our performance services with our risk analysis capabilities will provide asset managers with insights on risk and reward and help you understand the dynamics of your profits and risks.

Reporting services

We adapt our reporting to suit your needs and requirements. We know one size does not fit all and strive to tailor the reports to provide the information that will help your business to move forward.

The content of the report could be designed for your management and board, combined with KPIs on set risk and exposure limits. It could also be highly detailed in selected areas to give insights on details and risk drivers.

Client stories

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