The Customer:

A large multinational bank with a global presence.

The Challenge:

The customer engaged i-flex Consulting for business analysis and functional consultancy to incorporate risk management solutions in the new global multi-location front-office foreign exchange deal capture and management system. The task involved:

	migrating all functionalities from existing rigid legacy systems into a new flexible global system;
	collapsing the deal capture and management functions spread across different systems covering multi-legal vehicles into a single front-office interface;
	migrating market risk management functions into the new system, with enhancement to cover simulation and what-if analysis and, also,
	enhancing the product coverage for risk analysis and providing real-time position and limit management and credit risk interface

Recommended Solution:

After a series of interactions with the business users and iterative presentations of the solutions, important recommendations were incorporated in the new system. The currency and interest rate risks originating from cross-product dealing were consolidated into a single risk management system for effective risk aggregation and management. The fixing of positional and currency limits (at individual dealer and desk level through a system of factor sensitivity exposure limits) were migrated with enhanced functionality for analysis to view the impact on MTM(Marked to Market)and Profit and Loss(P & L).

A real-time simulation and what-if analysis functionality was included to provide a decision-making tool to traders for determining optimal hedging. Similarly, real-time and online rate scanning checks were provided at deal inception.

To highlight the exposures to less liquid and highly volatile emerging market currencies, a graphical representation of daily currency exposure was incorporated along with the cash flow enquiry function. To facilitate the model validation by the risk management and approval authority, elaborate documentation defining the processes and algorithms involved in risk measurement and P & L calculation were provided.

Customer Benefits:

	better allocation of economic risk across various trading desks
	enhanced tracking of market risks
	real-time credit risk interface enabling credit-line consolidation and cross-product fungibility
	improved monitoring through effective middle-office risk control and audit facilitation