Market and Investment Risk

Assess how market movements and portfolio structure could affect investment outcomes.

Investment portfolios can contain exposures that are difficult to see from headline performance alone. We examine sensitivity to market movements, concentration, diversification assumptions and the behaviour of relevant risk measures under changing conditions.

We work with investment and risk teams to connect quantitative findings with portfolio oversight. Clients receive an exposure map, focused analysis and recommendations for monitoring, limits and management reporting.

Steps and deliverables

6 steps, in order. The scope of each is agreed at the start.

  1. A working session at a round table, with notes and coffee between three people

    Portfolio and mandate review

    We review the portfolio, its mandate and the constraints it works within.

  2. A dealing room with desks and screens of market data

    Risk-factor mapping

    We map the market risk factors that drive the portfolio’s exposures.

  3. Hands with a pen over a printed bar chart and pie chart

    Sensitivity and concentration analysis

    We test sensitivity to market movements and look for concentration behind the diversification.

  4. Lines of code on a screen

    Risk-measure assessment

    We assess how the risk measures in use behave under changing conditions, and what they leave out.

  5. An analogue gauge with a needle and a red limit zone

    Monitoring and limit recommendations

    Recommendations for monitoring, limits and management reporting that fit the mandate.

  6. Three people at a table looking at figures on a phone

    Investment committee report

    A concise report that connects the findings with the committee’s oversight decisions.

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Independent Model Validation

Review whether financial risk models are conceptually sound, correctly implemented and appropriate for their intended use.

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