COUNTERPARTY RISK ANALYST
#CounterpartyRisk #Risk #Collateral #IBOR #Payoff #Pricing #JTD #IssuerRisk #PFE #LGD #RFR #Simm
Background & Challenges
The Counterparty Risk Management team at Natixis was looking for a senior consultant to lead several in-house and regulatory projects, including primarily:
- Establish a system for tracking collateral exchanged in connection with financing transactions
- Updating counterparty risk indicators as part of the IBOR transition
- Support the launch and management of new products and taglines
- As part of the FRTB changes, implement a new indicator for calculating issuer risk
The CRM team is part of Natixis’s Risk Management division and works closely with the credit and market risk teams.
Solution
PROJECTS:
- The Collat Base
- Development of a proof of concept for
- Retrieve the REPO/REVERSE REPO transaction history
- Enhance collateral data, monitor quality, distribution, etc.
- Calculate aggregate indicators such as the holding ratio, average haircut, etc.
- Stress-test the collateral using the SIMM methodology
- Monitor post-trade haircut levels
- Manage three-party transactions
- etc.
- Support for a PROX IT team in scaling up the POC into a production-ready application
- Use in various pre-trade and post-trade scenarios
- Quarterly Committee Presentation
- Collateral coverage for bonds and equity
- Development of a proof of concept for
- The IBOR Transition
- Replication of calculations for new RFR rates
- Incorporation of counterparty risk indicators into calculators
- Monitoring market developments (switch in reference rates by currency)
- Collaboration with the market risk, credit risk, and quantitative teams
- NPNA (New Product & New Activity)
- Point of contact for assessing counterparty risk when the FO requests new payoff structures
- Analysis of payoffs, structures, and products, and issuance of an opinion on counterparty risk monitoring
- Consultation with the market and credit risk teams
- Issuer Risk
- Study of a New Indicator for Monitoring Issuer Risk: Jump To Default
- Replication of values for different products/default scenarios/LGD
- Support for IT and business teams
- Implementation of the indicator in the calculation of counterparty risk
SPEECH
- Key success factors:
- Leveraging IT skills, building expertise in business knowledge
- Cross-functional communication (Business Units/Business Analysis/Development/Training)
- Regular progress updates: helped confirm that the projects were on the right track
- Challenges encountered:
- Developing expertise in business and quantitative knowledge
- Lack of technical freedom, slow processes and restrictions, databases, etc.
- Project management system without agility
Benefits for the customer:
Delivery and regular monitoring of ongoing projects.
Quanteam’s expertise makes all the difference
- A highly versatile profile with expertise in both business and IT
- Coordination between the various business and IT teams
- 12 years of experience across various projects, offering a wide range of skills
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