The client is a leading European Central Counterparty
.
Overview
Client:
Large European Clearing House
Industry:
Capital Market, Clearing
Services:
UAT, Acceptance testing, Prototyping and Validations
Margin Model Verification and Acceptance Testing
- Verified Initial Margin – Market risk and Liquidity Risk models for Equity, Fixed Income and OTC products(VaR, correlation break, model error) utilizing the concepts of Historic & Stress simulations
- Pricing of Fixed income derivatives, equity derivatives, IRS and FX Options, Variance futures, VStoxx
- Verified Back testing models – Generation of theoretical and mark-to-market PNLs,
- Verified Stress testing – Historical, replay and stress risk factor scenarios
- Verified algorithms for Cross Margining of Fixed Income and IRS products – Calculation of Margin benefit, allocation principles
- Created business acceptance test plans, test cases and executed test cases for core risk management functionality (new risk models, margining process and hedging tools), weekly reporting to management
- Executed test cases in various environments – System Integration, Simulation, Acceptance
- Verified Default management Hedging concepts and Tools -Equity Hedging tool,IRS Hedging concepts and algorithms – Vega Hedging, DV01 hedging
- Verified data-interfaces – Transfer and storage of Product master data, market data and Position data
- Verified the data model consistencies –functional data-model
Test Automation and Prototyping
Provided Automation and Prototyping services in key areas such as:
- Lead the Automation team for the Verification of entire risk system
- Developed end-to-end tool in VBA ,Access & Oracle to verify risk methodology of PRISMA
- Fully automated testing of Risk related functionalities such as VaR, Liquidity risk, vola-errors, portfolio margining, Marginal Analysis, Cross-margining, BackTesting, StressTesting, Incremental risk check, member reports, what-if and Transparency files
- Developed prototype tool in Matlab & Oracle to verify the Equity and IRS
