Trade capture
All valid trades/positions are included in the risk calculation.
1. Count is matching - No trade/position is missing or added
2. Economic aspect factors are captured correctly
3. Reporting factors Position amount is correct Market data is correct and complete
1. IR Curve, CDS, and underlying securities
2. Vol surface/Cube
3. Closing rate/price Risk Metrics
1. Delta, Gamma
2. Vega
3. MTM/PV Daily VaR measures
1. DGV VaR
2. Stress VaR
3. Full Reval VaR Stress VaR Back test Stress test Breach investigation Limit Letter monitoring
Testing Portfolio Section- Data Sampling
Cover major product types, as such the pricing models
Cover most used curves in the pricing as such the most frequently used market data and risk factors
Cover linear and nonlinear products
Cover the trading and corresponding hedging portfolios
Cover trades with variety of maturities
Cover EQ, IR, FX, CO asset classes
Cover major product types, as such the pricing models Cover most used curves in the pricing as such the most frequently used market data and risk factors Cover linear and nonlinear products Cover the trading and corresponding hedging portfolios Cover trades with variety of maturities Cover EQ, IR, FX, CO asset classes