Across the risk management disciplines, market risk is the most developed risk framework. In addition to this fact, banks and financial institutions need to update and re-evaluate their market risk management processes incorporating the effects of intensive regulations, the introduction of more complex financial instruments and pricing models, and the Basel II approach which is to be followed by the entire industry. In light of these developments, market risk management and internal control units need to increase the information level and qualifications which reflect the responsibility of increased regulations, and to work as a part of a strategic decision-making process.
Services of PricewaterhouseCoopers regarding market risk in Turkey can be summarised as follows:
- Operations in the framework of internal control unit (Enabling necessary expert support in the areas of pricing and the valuation of derivative instruments)
- Basel II and EU law adaptation projects (Evaluation of the risk management framework regarding CAD3 requirements and the VAR model used by the banks in light of Basel II, model validation, project management, best practice comparison for market risk and the gap analysis method for market risk processes)
- Development of product pricing models (Modelling of non-linear products, documentation of process validation methods and procedures, development of VAR models used to calculate haircuts for risk mitigation during capital adequacy calculations, and the application of these models)
Selection of market risk applications (Advisory for IT application selection and the preparation of data maps)
