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Case Study: Change Practice

emagine undertook a current state analysis, proposed an intuitive solution, prepared and executed an end-to-end delivery plan, and oversaw the implementation and roll-out of the solution, eventually leading to the automation of the manual process.

The challenge

A Tier One bank’s front office XVA was managing peripheral risks on a spreadsheet with a monthly manual cycle. This process was cumbersome, outdated, prone to errors and losing money due to incorrect risk calculations. This was also an audit risk due to the lack of controls and auditability.

Actions and outcomes

emagine undertook a current state analysis, proposed an intuitive solution, prepared and executed an end-to-end delivery plan, and oversaw the implementation and roll-out of the solution, eventually leading to the automation of the manual process.

Current state analysis: We studied the current process (with insufficient client documentation), understood the reason for the current manual process (which was due to the lack of granular surfaces in the market data), and documented the requirements
Solution: We started with getting buy-in from all consumers of the market data within the bank (all front office desks, risk, and reporting), encouraging them to switch and use granular market-data curves. We then worked alongside the quants to enable the lazy curve build to avoid performance gaps that could arise due to an increase in the curve surfaces, coordinated the testing (8 systems in total and 121 pricing sheets across all desks), and oversaw the delivery all the way to roll-out and closure
End-to-end project delivery: We collaborated with the client and worked alongside their fast-paced front office environment by working autonomously for most of the project phases, apart from the initial business analysis stage and final testing and roll-out phases. We were quick to set up project governance, regular communication (which was key due to the impact of the change), and ensured there was little to no downtime due to any changes rolled out by making sure there was rigorous testing and impact analysis in place.
Outcome: The manual process to capture the peripheral risk was fully automated and reports were generated from the XVA system. This eliminated the need for a trader’s time to run manual tools every month and instead allowed them to focus on sales and ensure all audit points were closed out. In addition to this, due to the lazy curve build modules, other consumers of the market data saw reduced time overheads and improved their performance overall. This was all done within time and budget.

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