The client is a leading European Central Counterparty



Large European Clearing House


Capital Market, Clearing


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