IMPLEMENTATION OF A RATING STRESS TEST MODULE
Background & challenges
Within the framework of the Basel regulations, Natixis was looking for a business analyst capable of :
- Implement a new stress-testing tool for ratings
This theme was to take place as part of the ongoing implementation of the Agile/SCRUM methodology.
The stress test teams wanted to have a rating stress test module directly available in the rating tool. The business lines used various queries to retrieve rating information and then used a VBA macro to simulate stress tests. This second part was very sensitive to breakage (in the event of updates to rating methodologies, grid redesigns, etc.).
Solution provided
The various stages of the project were as follows:
- Set up regular workshops between business analysts and developers to :
- Understanding current issues
- Sharing the same level of information
- Helping to draw up an expression of need
- Choice of solution based on several criteria (performance, ease of use)
- Prioritize the rating models to be implemented in the stress test module
- Specifications and development
- Business Analyst Tests
- Trade tests
- Deployment
- It should be noted that the technology used was later used to redesign the rating engine(another Natixis project).
Key success factors :
- Speakers' expertise on the subject: enabled a rapid understanding of the topic
- Cross-functional communication (business/BA/Dev) :
- The various workshops held in preparation for the project provided a clear vision of what was expected and the path to follow.
- Frequent presentations of progress: helped validate the direction taken by the project
Difficulties encountered :
As the project validation tests took place at the beginning of COVID, there were fewer face-to-face contacts (which facilitates project progress) and validation was slightly behind schedule.
Customer benefits:
New module for quick and easy stress testing.
Quanteam expertise makes the difference
- Over 16 years' experience in solving investment banking problems
- Expertise in the analysis and operational implementation of regulatory texts
- Mastery of Agile methodologies
- Mastery of Basel regulations
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