The clearing house wanted to move from the old risk methodology to the new state of the art portfolio based risk margining including cross-margining.
Activities done
Test and validate various functionalities including margin calculations, data integrity, , marginal analysis, stress testing ,back testing , cross-margining algorithms, hedging algorithms
Test case design and execution
Automation of testing process and creation of testing framework
Effort estimation and weekly reporting
Creation of prototypes using Matlab, MSAccess and VBA
Creating of regression approach and regression framework
