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I am having total 14 years of experience into IT which comprise of development and testing of various applications under financial regulatory programs. I mainly worked for Credit Suisse, Citi group and Common wealth bank of Australia across variou...Show More
The fundamental review of the trading book (FRTB)
The fundamental review of the trading book (FRTB) overhauls the market risk capital framework to meet the objectives of the Basel Committee’s (Committee) efforts to address shortcomings of the current Basel 2.5 market risk capital framework and reduce variability of market risk weighted assets (RWA) across jurisdictions.
Murex Binary Upgrade: This project aims to upgrade Murex (Mx) from the current Production version 3.1.36 to a target state 3.1.42 to deliver functional uplift with minimal impact to existing system users. The current version of Murex at CBA is 3.1.36 implemented originally in September 2016. Murex expects to release version 3.1.42 in May 2019. This version is the minimum required to be able to access functionality needed for the market risk engine (MRE) implementation under the FRTB Program.
There are two main dependencies of the binary upgrade to Mx42 for MRE project:
Taylor VaR computation module Portfolio Set functionality (to be used by CBA to import non-Murex trades positions in MRE
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MRP (Margin Rule Program) – Initial Margin and Variation Margin
The Initial Margin project is regulatory driven and requires that client's non-clearable OTC positions
are calculated and associated to the collateral that the client has pledged to post.
A legal document such as an ISDA agreement for OTCs, signed between a CS legal entity and a client,
define what collateral is eligible to be posted by the client and for what purposes and are detailed within the Credit Support Annexes (CSA).Show More Show Less
Application Performance Management
This Performance and Capacity Management project assures that the available IT resources are optimal utilized. This resources includes (DB2, IMS, CICS transactions and COBOL programs) and also system resources.Show More Show Less
This client is a national leader in offering comprehensive health management services through organized health systems and insurance products. This program (Apollo) is the governance structure for the transformation project required to upgrade the claims processing system.Show More Show Less