Design and build a proprietary solution capable of calculating the incremental risk measure (IRC) to the VaR of the trading book, incorporating default and migration risks.
The tool had to cover all the requirements of the regulator, specified in the TRIM guide.
The solution passes the internal controls of the validation area and is approved by the ECB. The stability of the results and the analysis capabilities are improved.
Executions are performed on a daily basis, reducing the time spent by users on each calculation.
During the project time, the volume of the portfolio is considerably increased.
- x10 nª Scenarios
- x4 Positions
- >90% time-saved in execution