Market Risk

• Implementation of Sungard Panorama at a large German Retail Bank: Implementation of a central integrated (market) risk controlling system (PanoramaTM) for bankwide controlling purposes (VaR-calculation including clean-backtesting, stresstesting, P/L-calculation, surveillance of limits and reporting) as well as for real-time limit observance of trading activity. Central part of project management; implementation of an EAI tool (TibcoTM by Reuters) and conception, realization and testing of the (real time) interfaces of the trading systems (Kondor+ and Front Arena, including a reconciliation process); conception, realization and testing of the market data supply including extensions of the PanoramaTM functionality; parametrization of PanoramaTM for Monte Carlo and Delta/Gamma-VaR calculations; testing of pricing, sensitivities, Clean P&L and risk calculation routines; conception, realization and testing of the backtesting; conception, realization and testing of the stresstesting functionality; conception, realization and testing of possibilities for reporting and analysis (connection to Business Objects including drill-down functionalities for market risk reporting as well as market data analysis.
   
• Working out a detailed catalogue of specifiction requirements for the risk management system of a middle-sized German bank
   
• Implemention of Asset Control for a middle-sized German bank with the purpose of supplying Risk Watch with market data for risk assessment and, in subsequent implementation steps, for a central supply of the entire bank with historical market data
   
• Implementation of a comprehensive risk management system for the BHF Bank, satisfying the the sixth KWG-Amendment with the implementation of an internal model (Principle I). Conceptual design and implementation of an internal model to measure and control market risks in compliance with the requirements of Principle I. Determination of appropriate methods. Implementation of Value-at-Risk (Delta-Gamma), stress testing and clean back testing in the bank's risk management system. Integration into the MIES of the bank. Extension of the model for the calculation of specific equity and interest rate risks. Preparation for the approval of the internal model by the auditing departm,ent and supervisory authorities
   
• Enhancement of the risk controlling for a middle-sized German bank, including vega risk, fair-value computations for bonds in IAS, market consistency for bonds, etc.
   
• Conceptual design and implementation to calculate specific interest rate risks (including event risk) in the context of an internal model; Preparation of the corresponding presentation to the BAKred (now BAFin)
   
• Building positions, risk controlling, limit checking, and performance evaluation of a strategic bank portfolio in Front Arena; Implementation of the trading system Front Arena by Front Capital Systems for the position building, risk controlling, limit checks and evaluating the performance and disposition of a strategic portfolio. The portfolio is characterized by it's broad product coverage, high trading volumes, a high degree of market risk combined with a low trading frequency. The project consisted of: constructing a concept of user-rights in Front Arena in compliance with the MaH, mapping of all products and verification of the valuation and risk computation in Front Arena, migration of the trade data to Front Arena, development of additional software for computing Variance-Covariance VaR and the delta-plus method for measuring non-linear option risks, evaluating performance, daily historization, the support of the disposition on the portfolio level, performing back and stress testing and establishing an interest rate sensitivity gap, carrying out a study of the VaR calculation by means of Monte Carlo simulations for the entire bank, studying how loans are mapped to be utilized in Front Arena, mapping and valuation of emerging market bonds, development of additional software to carry out the end of year evaluation in Front Arena
   
• Implementation of the market data database "Asset Control" for market risk controlling assuring market consistency for a large German Landesbank
   
• Implementation of a risk measurment methodology for market price risks (VaR, Stress testing) for a special portfolio within the trading system of a large German bank. Conducted a study considering the architecture of various solutions for the utilization of the results
   
• Selection and implementation of a centrally integrated risk controlling system (market and default risk) for domestic trading as well as establishing market risk reporting for the entire bank (risk, P&L, limits) for a large German Landesbank. This included project management; development of the technical/finance mathematical concepts for the market risk computation including the parametrization of the risk engine Carma for Monte Carlo and Variance/Covariance VaR computations; testing Carma's valuation methods and market risk computation routines; conceptual design and testing of back and stress testing; conceiving and testing analysis possibilities ( drill-down in market risk reporting as well as market data analysis on the market data database); definition of the data interfaces to be utilized in the integrated system (real-time transmission of trade and instrument data, batch-oriented transmission of market data) and testing the data transmission; defining of the fundamental parametrization of the integrated system; test of the entire bank's reporting of market risk; testing a component developed by the bank for reading and editing market and trade data; development and testing of the overnight computation processes for market risk, including error handling
   
• Supporting a large German investment bank in implementing the 6th KWG amendment with regard to the supplying trade data to the global trade data pool
   
• Implementation of a trading and risk management system for the Trading and Treasury departments of a specialized financial institution including the expansion of trading and the Euro-conversion: transmission of all trade and treasury deals in the interest rate and foreign exchange departments into the new system; definition of the organizational procedures involved in derivatives trading under the application of the new system for the front office, back office, risk management, portfolio management, booking and trading controlling, etc; from and including the conceptual technical development via the precise computation of all risk parameters and Greeks up to and including the implementation of all interfaces: implementation of the entire 6th Amendment of the KWG, including the delivery of the reporting software from all effected areas of the bank. Advice with the extension of trading activities to include interest trading; definition of tradable contracts and new products; creation of requirements for the trading and reporting systems so that the trading in particular product groups can be included, such as amortizing swaps, basis swaps, cross currency swaps, caps, floors, collars, reverse floaters, bond options, step-up bonds, swaptions, Repo trades; extension of the corresponding application concepts, as well as the specification of the interfaces to the reporting department and it's implementation through the appropriate database queries developed for this purpose; definition of assignment distribution with the expansion of trading activity; development of a concept for the Euro conversion of trade portfolios in the trading system;adapting the corresponding software routines and reports to be Euro compatible; testing the database conversion scripts provided by the software provider: conceptual development for the application of these scripts in daily production; adaptation of the parametrization of the trading system.
   
• Implementation of Pricniple I for a large German specialized bank

• Implementation of the controlling system Risk Watch to provide support for ALM and implementing the interface to the system's supplying data. Establishment of procedures for the measurment of market risk (VaR) and regulatory reporting

• Implementation of Front Arena (FCS) as a trading and risk management system with particular emphasis given to complex interest rate derivatives for a German morgage bank

• Post-merger integration of the risk-management systems for a large German financial institution

• Review of the back testing methodology of the Value-at-Risk system of a large German financial institution

• Selection of the risk engine for a large German financial institution

• Review of the risk management and capital allocation with regard to MaH (valuation, VaR, Profit-at-Risk) for an energy corporate company

• Conceptual design and implementation of an internal model for the measurement and control of market risks in compliance with the requirements of Principle I. Determination of appropriate procedures. Implementation of Value-at-Risk (Delta-Gamma method), stress testing and clean back testing in the bank's risk management system. Integration into the MIS of the bank. Extension of the modelto calculate specific equity and interest rate risks. Preparation for the approval of the internal model by the auditing department and supervisory authorities

• Implementation of a trading and risk management system for securities for a large German bank

• Implementation of a trading and risk management system for securities and credit derivatives for a large German bank

• Implementation of a comprehensive trading and risk management system for the treasury department of a specialized financial institution. This entailed: conceptual design, coverage of all financial products, integration into the existing IT-landscape, automated confirmation of market consistency, MIS with balance simulation and risk reporting, balance simulation, documentation

• Conceptual design and implementation of the sixth KWG Amendment (§§13, 14- Reporting, Principle I) for a middle-sized German bank

• Quality control and detailed testing of the individual development of a risk management system of a large German investment bank

• Various analyses for the quality control of "credit spread"- VaR computations for a large German bank

• Specification and implementation of a system intended for the calculation of specific interest rate risks (spread- free) in compliance with the sixth KWG Amendment through the application of an internal model (Principle I); preparation of the corresponding presentation to the BAKred (now BAFin)