Below are a list of the projects that I have delivered during my time working for multiple companies – you can click any of the links to be taken through to a page that gives some details about the project, the benefits from the delivery, key stakeholders I worked with, and my personal responsibilities from initiation to production.
Margin Period of Risk (MPoR)
Dynamic daily calculation of the MPoR for IMM and Standardised Calculations
Collateral and Margin Repository
Creation of the Risk Collateral and Margin Golden Source, and Integration into Metrics, Systems and Processes
Long Form Confirmations
Enhancing Risk Systems to Consume LFC Agreeement Terms, Enrich Positions, and Generate Accurate Risk Metrics
Cross Margining Netting Agreement (CMNA) – Collateral Apportioning
Facilitating a Daily Synthetic Transfer of Collateral from PBAs to MA/CSAs for IM Requirements
Insurance on Loans
Development of a “Hedge Framework” to Reduce Credit Risk Metrics calculated for Loans, by an Insurance Offset Amount
Stress Loss
Calculation of a “Bottom’s Up” Stress Value for Counterparties, to Measure against Limits
Pre Trade Checks API
Implementation of a RESTful API integrated into Front Office Systems to Provide Multiple Pre-Trade Calculations
Disclosure of Interest
Determining the holdings in each Counterparty, to define whether a Disclosure of Interest form needs submission to Regulators
Market Risk Dashboards
Dynamically updating Risk Dashboards for Market Risk Management to perform analysis on their nodes/desks
SPIDER
Delivery of a Counterparty Credit Risk reporting framework, to monitor Counterparties in scope of Bilateral Initial Margin
