A blue chip investment bank needed support for Comprehensive Risk Measure, a new, mandatory FSA capital requirement for the correlation book. A new project manager was also required to introduce more project discipline to the development of methodology and implementation across a multi function project team. The client required a specialist, front office skill set as the methodology was complex, involved exotic assets; and to enable effective communication with the trading desk.
- Correlation assets, mainly synthetic CDOs, are some of the most complex products in fixed income and requires a specialist skill set to understand them: CPRA provided a manager with over 5 years experience in CDOs.
- The project also involved front office quantitative research; model validation and IT, creating a complex and large team: CPRA was able to provide practical project management combined with product knowledge to allow the correct focus on job priorities, effectively communicate methodology requirements to non- quantitative teams and develop the correct documentation to broaden the understanding of the developed methodology.
Within a highly pressurised environment CPRA was able to facilitate improved team communication and instill project management that was acceptable to the diverse teams within the project.