Dashboard Development
Project Description
Project Background The Federal Reserve Board’s [market risk capital rule](https://www.investopedia.com/terms/r/risk-based-capital-requirement.asp) (MRR) sets forth the capital requirements for banking organizations with substantial trading activities. The MRR rule requires banks to adjust their capital requirements based on the market risks of their trading positions. The rule applies to banks worldwide with total trading activity of more than 10% of total assets or banks with assets in excess of $1 billion. Substantial revisions to the MRR were enacted by the Federal Reserve Board in January 2015. These changes aligned the MRR with the requirements of the [Basel III](https://www.investopedia.com/terms/b/basell-iii.asp) capital framework. KEY TAKEAWAYS – Risk-based capital requirements are regulatory rules that establish minimum regulatory capital for financial institutions such as banks. – The goal is to keep banks stable, even during financial crises and prevent bank runs. – In the U.S. many banks are subject to Regulation H and international banks must also subscribe to the Basel III accords. Client Business Needs/Purpose and Justification The firm’s financial risk management tool in place today, Bloomberg BRM, provides limited transparency into the building blocks of the risk calculations and lacks the ability for Hilltop to configure the settings. The solution is not user-friendly, and Bloomberg is not timely in responding to system issues. In addition, the risk team is unable to assess real-time risk due to BRM’s lack of support for calculating intraday value-at-risk (VaR). The RiskManager solution from MSCI is an interactive, web-based risk application that computes and reports various types of Exposure Statistics, Sensitivities, Value-at-Risk Statistics, Stress Testing and Attribution statistics for a portfolio of complex financial instruments. The RiskManager solution will provide added flexibility to run stress testing scenarios resulting in an enhanced controls environment- specifically for the purpose of Value at Risk calculations. Business Objectives An enhanced controls environment through greater capabilities for the risk team to design and run various stress test scenarios, including user-defined, predictive, historical, and pricing model parameter. Anticipate benefits of the risk solution will begin to be realized after the risk team has had an opportunity to fully design and validate the risk calculations – anticipate the validation will occur up to four months post-implementation of all model validation. The risk tool selected and implemented covers the risk profile of the enterprise, and the VaR model and pricing equations are validated/approved by the Fed. Phase I of this effort includes the following success criteria: 1. RiskManager system stood up and configured at MSCI so that three key users can gain access across the firm, with the option of two additional users. 2. Data Sourcing and design determined and implemented for HTS positions (extract, mapping, storing, aggregating) · The design will account for future state including position data from PLI and PCB 3. Model Selection initiated – led my Drew Krajewski and Teresa Aguilera-Peon Model Validation- model validation can initiate once the framework has been established, but will not be able to complete without Phase II- the inclusion of all position data. Preliminary Project Scope (high-level) The primary focus will be: · Build a dashboard to provide insight into the overall process and statistics · Major Milestones o Needs analysis – requirements documentation o Identify KPI’s and associated business definitions o Create high level design document o Create wireframe o Create functional dashboard o Stretch goal – enable real time analytics
Project Details
-
Summary
Thee primary focus will be to build a dashboard to provide insight into the overall process and statistics.
-
Sponsor
- Hilltop Holdings
-
Semester
- Fall 2021
-
Academic Area
- Information Systems
Banking, Finance & Insurance