Rebuilt an enterprise-grade Liquidity Risk Management, Treasury Governance, and Regulatory Compliance platform for a major global bank. The system ensures the institution maintains sufficient high-quality liquid assets (HQLA) and funding resilience under normal and stressed conditions—and can demonstrate this clearly to regulators and senior management.
Basel III Liquidity Coverage Ratio (LCR) calculation, monitoring, and reporting (HQLA / Net Cash Outflows ≥ 100%). Net Cumulative Cash Flow (NCCF) and cash-flow survival metrics across 12+ months and 15+ time buckets.
Pre-defined and ad hoc stress scenarios modeling deposit outflows, funding pressures, and market shocks with multi-level drill-downs from securities, deposits, and funding data.
Early-warning indicators, breach thresholds, and color-coded alerts for crisis management with stress-readiness reporting for regulatory and internal liquidity metrics.
Unsecured wholesale funding (UWF) monitoring by currency, maturity, counterparty, and country risk. Oversight of short-term/wholesale funding dependence and concentration risk.
Encoded treasury policies and limits for secured vs. unsecured funding types. Cross-currency exposure monitoring including USD reliance and northbound limits.
Repo/reverse-repo, securities lending/borrowing, collateral positions, and unencumbered asset tracking with eligibility, transformations, and market-liquidity reporting.
Currency-bucketed maturity ladders (0–7, 8–30, 31–90, 91–180, 181–365, >365 days). Identification of structural liquidity gaps and funding mismatches.
RWA and Adjusted Assets trending by business unit (FICC, I&CB, GTM). Dashboards, trend analysis, drill-downs, and ad hoc analytics for treasury and risk teams.
Multi-source data ingestion (IBUK Canada/London/USA, FRN, BDN). Automated validation, exception handling, archival, and publish/unpublish workflows ensuring completeness and accuracy.
Historical tracking of guideline breaches with remediation workflows and action management. Operational tooling and administrative support for treasury and risk operations.
This system provides market-risk governance, limit management, VaR aggregation, and authorized-product control, with supporting operational and audit capabilities. It focuses on the reference data, hierarchies, controls, and reporting structures that underpin market-risk management. The platform enables a financial institution—such as an investment bank or asset manager—to define and govern market-risk limits, aggregate VaR exposures, enforce authorized-product policies, and organize risk data across multiple dimensions with full auditability.
Configure how positions and P&L roll up through VaR hierarchies. Maintain dynamic VaR trees for aggregation across portfolios, desks, legal entities, regions, and business units with multi-dimensional risk organization.
Maintain hierarchical risk-limit structures (desk/book/LOB/dimension). Manage formal limit letters (board, regulatory, internal) with support for split limits, version comparisons, and limit change tracking over time.
Govern which instruments or product lines are approved for trading. Manage APL reference data including product hierarchies, asset-class mappings, and line-of-business associations for regulatory compliance.
Track positions at portfolio and desk levels with override capabilities. Provide position-level filtering for risk views and VaR aggregation across multiple organizational dimensions.
Organize risk data across entity, region, date, currency, market definitions, and line-of-business mappings. Apply VaR tree filters to select the appropriate slice of the book for management vs. business-unit views.
Control when risk processes run including business-date selection and regional cutovers. Manage snapshots, manual runs, and operational metadata required for auditability of VaR and limit checks.
Provide audit trails for reference data changes (limits, VaR trees, APL, hierarchies). Maintain risk snapshots and run histories with reporting specifications and compliance-driven traceability.