Limit Management
The management and distribution of limits is an important tool
for risk control and efficient allocation of capital. Mindwell
helps you develop and implement solutions for defining limit
hierarchies and calculate contribution to limit utilisation.
Limit Structures
and Limit Control
We work together with
our clients to review and refine the limit framework. We pay
special attention to set-up of legal entities such as
Counterparties and Clients in hierarchical structures to
facilitate correct aggregation and breakdown of limit figures.
We also provide advisory services to help clients define limit
dimensions, e.g. market and credit limits measures and how to
set up limit aggregation frameworks for non-additive limits
(such as diversified VaR limits).
Limit
Utilisation and Limit Management
Once the limit backbone
is defined, our financial developers and quantitative analysts
help you define and implement appropriate utilisation measures
depending on the instrument types to be incorporated in the
limit monitoring system. We help you implement reports and
drill-down applications for tracking marginal contribution to
limit utilisation on a detail level and to perform calculation
of diversified limits on the required aggregation levels.
|
