Assignment context and description of activities
For the Markets & Clearing business lines behavioral models must be implemented. This is done for Liquidity & Capital Risk Management (LCRM). The project is to manage the implementation of an automated solution for sourcing positions from the front office systems. This means processing through an ETL around which the models are implemented. The output of the model will feed towards QRM for integrated reporting on the CMC and BMC. This enables LCRM to perform liquidity (risk) management on Markets and Clearing. This solutions provides an aggregated Liquidity reporting for Markets & Clearing.
This project must be completed in 2017. A start was made with business analysis in 2016. The project manager will start with the execution end to end, including business implemention.
With the following results (SMART)
Availability of MAG approved models as input for the implementation
Sources feeding the required data on daily basis
ETL established to process the files, ready for Model usage
Models implemented in the model execution environment (HC/CSA Models)
Model results fed to QRM for integrated reporting in the CMC/ BMC
Audit issue resolved
Relevant knowledge, skills & competences
Knowledge of Liquidity risk management
Knowledge of risk models
Markets and Clearing business knowledge
Experience as a project lead in the IT world
7> years experience in project management
Systeem waar mee gewerkt wordt is MUREX, pre om daar ervaring mee te hebben.
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