Official risk calculation: CSA curves for emerging-market rates

In detail

Barclays Capital · May 2013 to September 2014 · Senior Project Manager, Official Risk Calculation Platform

A valuation-model change that moved every emerging-market rates product from self-discounting to CSA-based curves, feeding the numbers that shape hedging strategy.

The challenge

Risk managers needed better measures to improve VAR and RWA impacts, the front office needed accurate PnL feeds to form hedging strategies, and migrated portfolios needed a new pricing model for stub-trade valuations. New structured products had to be valued correctly end to end.

What I did

• Delivered the migration from self-discounting to Credit Support Annex based curves for all emerging-market rates products, working with analytics and risk teams on curve-sets and hedge-curve templates.

• Remediated and activated the new pricing model for stub-trade valuations of CSA-migrated portfolios.

• Managed regulatory, core technical and valuation deliverables for the Global Fixed Income Risk Management and Product Control teams, and coordinated end-to-end solutions for new structured products.

• Served on the enterprise agile transformation team, implementing agile and lean frameworks across business and technology teams.

Outcome

• Key risk measures, explains and PnL reports improved VAR reporting and RWA impacts, with substantial cost savings.

• PV and risk impacts for stub trades improved by 10%; three weeks of manual year-end reporting removed for Product Control.

• Personally commended by the Managing Director of Investment Management for the agile transformation work.

Skills: Risk and product control · Valuation model change · VAR and RWA · Agile transformation · Cross-team coordination