Over the years Quant Edge Solutions has successfully completed a multitude of projects at leading firms in the financial services sector. The problems/requirements that were addressed as a part of the aforementioned projects span a wide spectrum ranging from the valuation of structured financial products with complex payoffs to the introduction of a workflow compatible with the four-eye principle for trade validation. To serve as representative examples of the types of projects that QES has been involved in, two projects are described in greater detail below. A complete overview of all projects successfully completed by Quant Edge Solutions is available upon request.
Introduction of a Workflow Compatible with the Four-Eye Validation Principle:
The primary objective of this project was the introduction of new workflows for the Ticket, Instrument Modification and Internal Trades processes in Sophis that are compatible with the four-eye validation principles with a view towards reducing operational risk. The primary tasks of the project involved identifying the underlying business requirements by organizing and conducting workshops with the relevant business stakeholders/business owners and subsequently producing appropriate business specifications based on the findings gathered via the aforementioned workshops These specifications included, among other things, a detailed specification/documentation of the new workflows using appropriate diagrams as well as the resulting changes to the interfaces between Sophis and other involved systems (for example the Sophis-Calypso interface). Finally, valid use cases/test cases needed to be identified and documented with a view towards testing the new workflows.
Introduction of a new Margin Aggregation Logic for Uncleared Derivatives
This project initially involved a detailed analysis of the impacts of the new regulatory requirements for so-called regulatory trades on the existing margin aggregation logic. Specifically, this involved an analysis of the required changes to the aggregation logic for Potential Future Exposures (PFE) in the bank’s Credit Risk Engine. In addition to this, the new regulatory requirements necessitated changes to the existing Business Area classifications within the system. This involved breaking the existing Business Areas down into smaller sub business areas for Collateralized-Regulatory and Collateralized-Nonregulatory portfolios. This. In turn, made a further analysis of the potential impacts of these changes on the calculation of the Potential Future Exposures (PFE) necessary. The required changes were documented in a functional specification that contained, among other things, an analysis of the resulting impacts to the interfaces with upstream and downstream systems.