We have helped risk management departments develop solutions to measure and reduce market, credit, operational, and model risk, as well as comply with regulatory requirements. Market Risk Management Major Global Bank Highly parallelized valuation and stress testing framework for top-tier bank's complete interest rate, equity and commodity derivative books. Framework used to value positions under numerous scenarios consisting of large perturbations in underlying variables and volatilities. Framework developed primarily to comply with Federal regulators' requirements. Operational Risk Management Major European Bank Event tracking system for the interest rate derivatives business of a leading Swiss bank.
System provides complete audit trail and reporting.
Model Risk Audit Major Energy Company Audited proprietary option pricing models, including models for spread options. Reviewed the validity, accuracy, performance and implementation of these models. Work performed on behalf of risk management area to assess model risk. Credit Risk Management Major Global Bank Extended bank's interest rate and equity derivatives trading systems to add significant counterparty information, classification and risk reporting functionality. Integrated systems with corporate credit risk management system.