Projects Portfolio

ING Bank NV (Amsterdam, Netherlands)

Role: Senior Risk Advisor / Project Business Analyst (Interim)

FRTB-CVA SA (QIS: Quantitative Impact Study)

This project is related to the FRTB (Fundamental Review of Trading Book) exercise for CVA (Credit Valuation Adjustment) portfolio using SA (Standard Approach) method, in the Quantitative Impact Study submission towards ECB (European Central Bank). The specification of this calculation is outlined by BIS (Bank for International Settlement), under Calculation of RWA for Market Risk (MAR50) chapter.

CDS Proxy Curve for CVA Calculation Assessment

Since not all counterparties were traded in CDS (Credit Default Swap) market, for CVA calculation purpose, the missing counterparties CDS data need to be proxied. However, EBA (European Banking Authority) also demands certain minimum standards to be followed by banks in the CDS proxy model, as regulated under EBA RTS (Regulatory Technical Standards) regulation EBA/RTS/2017/07.

IFRS 7 (Financial Instruments: Disclosures) and IFRS 9 (Financial Instruments: Fair Valuation) Assessment and Implementation

Within the new IFRS (International Financial Reporting Standards), lending positions in balance sheet are required to be fair valued, either for financial statement disclosure purpose (IFRS 7) or also for reporting for impairment reporting (IFRS 9). In both cases, the reporting entity needs to model PD (probability of default) and LGD (loss-given default) for either loan fair valuation or expected credit loss (ECL) for impairment purpose.

CVA (Credit Valuation Adjustment) Portfolio Risk Management and Reporting

In response to 2008 financial crisis, banks are required to calculate counterparty credit risk arising from derivative transactions, called CVA (Credit Valuation Adjustment), under Basel 3 framework. The monitoring, reporting, including hedging process of CVA is different compared to standard trading desk, due to the hybrid credit risk and market risk nature of the CVA portfolios.

FVA (Funding Valuation Adjustment) Spreads Assessment

Following the CVA capital charge, additional value adjustments were introduced and calculated, including FVA related to funding charge. In this framework, FVA spreads need to be calculated and subject to various discussions in the industry for the last years.

UDA / EUC Standard Development

Excel templates were heavily used in banks, however they are rarely standardized or documented, which is why Bank for International Settlement (BIS) issued guidance over principles for effective risk data aggregation and risk reporting. These principles require EUC (end-user computing) or UDA (user-developed application) to be standardized and well-documented.

Rabobank (Utrecht, Netherlands)

Role: Product Controller / Project Business Analyst

Commodity Derivatives Centralization (Sydney and Sao Paolo Offices)

Following department-wide initiative to have centralized systems and processes, commodity derivatives positions and reporting were moved into Finastra Sophis trading system. This project involves cooperation with several trading desk heads and various departments, such as Finance, Risk Management, and IT.

Murex vs Calypso POC (Proof-of-Concept) Comparative Assessment

Due to rising regulatory requests from Basel 3 and Basel 4 standards, and the complexity of previous trading system architecture, the bank decided to streamline front-office, back-office, and risk management data flow, containment, and reporting processes under one system. The POC sessions were conducted to invite key people from various departments to give their valuable inputs in making head-to-head comparisons over both systems (Murex and Calypso).