Case Study 01:
Estimating Market Risk Exposure

Our consultants processed financial market data, including spread rates, yield curve, FX spot rates, FX volatility data, option data, commodity data, bond data, and equity data, from private providers and public agencies, performed missing value imputation and error cleansing, and worked on market risk VaR models, Potential Future Exposure models, and Mortgage Service Right models in order to monitoring the market risk exposure, credit risk exposure, and the valuation of the mortgage portfolio.