Case Study Rand Merchant Bank

categories: RiskMetrics CreditManager, Product Documentation, general

Learn how RMB, the investment banking arm of FirstRand, one of South Africa's largest JSE-listed financial services groups, successfully built consistent risk frameworks that integrate market and credit risk, allowing them to create a framework for calculating the 'incremental risk charge' in the trading book. One of the challenges mastered by RMB was to adjust the risk model to take into account both available data in the local market and the current changing economic conditions. This case study details the underlying market drivers, the bank's decision-making process and implementation challenges that were overcome.

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