LPA Office

»The regulatory capital for your trading activities is changing: what you need are comprehensive impact assessments and the ability to implement the new requirements along the entire value chain.«

Wolfram Boenkost, Partner LPA

Market Risk

Years of experience acquired in the capital market business make us the ideal partner when it comes to meeting individual challenges in the field of market risk.

Our services at a glance

Key points of the new market risk requirements:

  • Mandatory implementation of standardised approaches for all institutions, irrespective of whether internal models are being used; disclosure of results
  • Introduction of minimum capital requirements based on the standardised approaches if internally modelled approaches are being used (aggregated output floor)
  • Sensitivity-based methods in the standardised approaches under the FRTB and the CVA risk capital charge

Our focus areas for market risk:

  • Market risk in the trading book (FRTB, BCBS 424 or CRR II)
  • Market risk for counterparty risk (CVA risk capital charge, BCBS 325)
  • Interest rate risk in the banking book (IRRBB, BCBS 368)

We can support you in such projects as:

  • Design of functional and IT specifications
  • Development, implementation and integration of new market risk models and the requisite sensitivities
  • Assessment of the impact of regulatory requirements on trading and treasury activities, and development of a new target structure
  • Independent analysis of capital requirements and identification of key drivers and savings potential in a changing regulatory environment
  • Model validation

LPA-Solutions for
Market Risk

Would you like to know more?

We will be happy to advise you.

Christian Behm
Christian Behm
Your partner for
Risk & Quant Consulting

Contact form



Christian Behm
Christian Behm
Your partner for
Risk & Quant Consulting
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