Formerly known as Global Research & Risk Solutions
Redesigned and revamped the entire IPV process and consolidated the entire efforts into a single platform for a large global investment bank
Challenges
Outdated legacy systems
- Different systems (working as silos) catering to multiple LOBs
- Manual and inefficient spreadsheet-driven processes that led to errors
Market data issue
- Market data used by finance team were inconsistent across LOBs
- Information challenges in the bank’s monthly IPV process and reporting
- Lack of single market data repository for LOBs
Inconsistent and inefficient process
- Inconsistency in methodology of performing IPV across LOBs
- Finding and Analysing breaches specifically for products like bonds was a time consuming process
Approach
Training/discussion with SME's
- Detailed discussions with traders, IPV SMEs and business to understand current process, define target state, define relative and absolute Business thresholds , Position thresholds ( in case of bonds), common reports
Standardization & pilot
- Sourcing Market data (consensus/broker/proxy) from various data providers
- Classification of trades, price discovery based on Fair Value Hierarchy
- Compute variances, perform data validation, adjustments and reporting
Setting-up the process
- Designed IPV reports such as Full Reval, Risk-Based etc. that would be consistent across LOBs
- Started a PILOT with Linear RATEs and then later complex products were on boarded to move to strategic system
Single market data repository
- Setting up an integrated market data platform, coordinating the development activities to enable correct mapping of independent data across LOBs
Unified risk engine delivery
- Redesigned and revamped the entire IPV manual process and brought the entire efforts into a single platform by migration from spreadsheets to a single risk engine and risk viewer
Offshore team Setup
- Post the migration, Crisil helped the bank in setting up a large offshore team for over a period of 1 year, train the new associates and provide adequate tools and documents for their BAU
Crisil Impact
- Crisil conceptualised and developed the reports by working with Business and Technology teams, and successfully delivered a comprehensive set of tools and reports for the use of the IPV team. Crisil delivered the critical platform on time by leveraging expertise in both business and IT
- The team developed incremental reports that leveraged attribution analysis methodology to provide an in-depth understanding of IPV variance
- Significantly reduced the time, complexity of effort and manual intervention in performing the IPV process
- Enhanced the process overall . For example pioneered roll out of IPV PLEX with explains defined to cover variance between full reval and partial reval method
- A large portion of the daily IPV process is running from offshore across LOB/ product classes from last year
- This has led to a overall cost reduction for the bank, better SOX controls, efficient processes with analysts not spending majority time to run reports manually, and standardised Management reporting
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