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Development of Counterparty Credit Risk Application for Exposure Calculation & Reporting

Development of Counterparty Credit Risk Application for Exposure Calculation & Reporting

HCL re-engineered the Simulation Methodology based on Potential Future Exposure (PFE) and Expected Positive Exposure (EPE). Risk Engine architecture was developed and coded to incorporate the changes made in simulation models. HCL team developed an integrated data model which received feeds from various systems and integrated it to be fed into the risk models. This helped in successfully extention of the system functionality and valuation methodologies to process more than 400 trade types including structured products and Exotic Derivatives, which could not be processed earlier. It also helped in improved batch-run time by 18%

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