The following two projects (products) were implemented for the Risk Management division of the bank (Moscow HQ):
- Operational Risk calculation module using Standardized Approach (SA). First attempts to ensure “operational resiliency” as requested by upper management (critical services identification, setting impact tolerance, stress testing and scenario analysis, mapping of dependencies).
- Automated credit and market risk monitoring processes for MM, FX, Bond and Equities portfolios of the bank to replace manual checks with continuous oversight using real-time data feed to Kamakura Risk Manager (www.kamakuraco.com)
