Large CCP – Quality Assurance Risk Managment

Large CCP – Quality Assurance Risk Managment

About Project

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