Risk Management & Compliance

At HCL, we have 700 - person years of experience with all data sources and across all risk categories. We handle applications, which deal with credit, market, operational, liquidity, and sovereign risk issues. This involves deep understanding of information management, feed handling, risk algorithms and reporting for internal and regulatory requirements, such as FASB133 Reporting, Basel II, AML, Patriots Act, Sarbanes Oxley and region specific regulatory requirements. We provide application support for set-up and distribution of VaR, Exposure Management and related risk management information systems. We have developed a credit risk engine, which computes portfolio level and counterparty level Current Credit Exposure (CCE), Potential Future Exposure (PFE) and Expected Positive Exposure (EPE), and report the same for OTC trades, CDS trades, FX trades, and Hedge Funds etc., using Monte Carlo Simulation Technique, stress valuation, and PV01 valuation. We have also developed an application suite for operational risk management. We handle applications, which compute margins on stocks, securities, and related instruments. In addition, we have developed, enhanced and maintained global margin management system for a Global Investment Bank. We have also developed, enhanced, and maintained several workflow applications, which assist our customers to comply with the regulatory requirements.

It is an operational risk measurement and management engine, which facilitates banks, trading and brokerage firms to track and report operational risks in compliance with Basel II requirements. The framework has the capability to incorporate objectives and strategies related to risk management, assess risk across business lines, track loss events, alert users, enable audit and generate reports. It facilitates the banks to use Advanced Measurement Approaches (AMA) for computation of capital charge through use of a comprehensive score card model.

We are building a Market Risk Management System framework, which primarily covers computation of sensitivities, VaR and stress testing. Sensitivities are calculated from the market data, positions, and limits data that are loaded into the Market Risk Data Warehouse. The framework computes sensitivities primarily using actual risk factor, rates, and prices, which further is used in the instrument/portfolio valuation models to give a historical P&L. The VaR framework consists of collating sensitivity data and market data and calculating the VaR based on defined models using the current positions, scenarios, and sensitivities. The stress testing system receives the hierarchy data and sensitivity mapping feeds from users and sensitivities from Market Risk Data Warehouse for the calculation of P&L. It then produces sets of shock levels based on movements in the market data and then applies those shocks to the current risk sensitivities in order to derive a stressed P&L level.