Implementation of a Legacy Market Risk Framework for logging and calculating existing and future risk in investment banking
New Link created a Market Risk IT Book of Work that had three programmes to assist the client in cataloguing all of their existing reports on market risk and mitigate future ones.
Problem Statement:
New Link Consulting engaged with the client (a large multilateral European Financial Institution) to construct and implement a Legacy Market Risk Framework. As part of this undertaking, New Link were asked to design a ‘Market Risk IT Book of Work’ that had three programmes that would assist the client in cataloguing all of their existing reports on market risk as well containing engines that would help with determining future risk.
The three programmes contained in the ‘Market Risk IT Book of Work’ were a ‘Legacy Risk Framework’ (LRF), a ‘Market Risk Framework’ (MRF) and a ‘Market Risk Reporting’ (MRR) engine.
The LRF was designed to identify all change linked to the client’s existing market risk databases. This would be a way of cataloguing all their legacy data regarding market risk and also track where changes had occurred.
The MRF was designed to deliver a new strategic VaR (Value at Risk) calculation engine as well as Stress Testing calculations.
The MRR was designed to deliver a strategic Reporting and Analytics engine whilst also providing the services of a Programme Manager for the entire Legacy Risk Framework.
New Link Consulting Engagement:
New Link aimed to complete these tasks by appointing a Senior Programme Manager to overview the project. Planning, control, and reporting project benefits were immediatley brought about through change management discipline and extensive Market Risk expertise.
The manager succeeded in rapid assimilation of some of the major problem areas of the project. Thus, risks and key issues were able to be mitigated and/or responded/resolved effectively and efficiently.
Outcome:
Due to the deep understanding of the business processes and systems the project successfully implemented the crucial regulatory changes it sought out to complete.
The team responsible for the success worked closely with various Bank internal teams and vendor partners to ensure that the project would achieve end-to-end cohesion and success.
The team also was aware of and ensured that the implementation kept in line with the Bank’s Application Software and Production Control standards and policies.
A wealth of industry knowledge and experience was utilised by the team and thus helped grow and strengthen New Link Consulting and its industry networks.
