Provided a real-time risk analysis, PnL, VaR and the current exposure for the fixed-income products and derivatives.
Re-engineering of the Market Risk Information (MRI) platform:
- More robust handling of missing trades.
- Decreased cost of ownership.
- Ad-hoc functionality, enabling limited What-If analysis.
- Excel for risk data analysis.
Implementation of ETL process for FDIC Part 371 – Recordkeeping requirements for qualified financial contracts.
Implementation of Real Price Observation Service for FRTB Data Needs in OTC Derivatives and Cash Instruments
We cretaed implementation of the “real” price observation service that enables the mapping of risk factors to a pool of global derivatives data to gain insight on modellability results in accordance with the Fundamental Review of the Trading Book (FRTB) framework. This service assists the industry with its FRTB data needs for OTC derivatives and cash instruments to test modellability of illiquid instrument classes. DTCC delivered a pooled data solution that helps banks obtain greater insight into modellability results and build the business case for IMA.
Roles and Achievements in Software Interactives: OLAP-based Visualization, Financial Risk Analysis, and P&L Attribution
Software Interactives has managed OLAP-based interactive visualization of the accounting numbers allowing for analysis, financial risk derivations, and calculations to support operational account balances by Portfolios, Trades, Counterparties, or other views not aligned with the company’s defined accounting hierarchies. Instituted a sensitives-based approach to evaluating derivatives P&L by incorporating Greeks and Taylor series expansions to derive P&L attribution. Revised and enhanced P&L analysis procedures.