We have successfully completed a high profile FRTB analysis for a leading European Bank identifying the key impacted areas. This included definition of trading books/desks, Risk Factor classification, implementation of technical sandbox solution to run the P&L attribution test and Risk Theoretical P&L.

At the time of engagement, our programme sponsor was keen to understand the desks that would fail the FRTB tests. Our lead consultant conceptulaised the ideas of a sandbox where the FRTB tests can be run for each desk and worked closely with traders, quants and risk management teams to implement the required infrastructure in a 12 week period providing a visual dashboard and heatmap of the results of FRTB tests for each desk.

Our investment banking client wanted to review the business processes, organizational model, location strategy and technology supporting its Rates business. The goal was to improve control, while increasing the scalability and agility of the business. Our objective was to develop a roadmap with costs that would drive investments into this business.
We deployed four senior consultants with in-depth Rates business experience — for a three-month review. Our team developed clear measures of success for the target state, and reviewed weaknesses of the current state. Using these data points, the RCloud team facilitated a number of working sessions to design the target state business processes. We then overlaid this with organizational design details before crafting a multiyear technology roadmap that successfully delivered benefits over a three-year time frame.

A globalised UK bank needed to align the risk figures that the risk department & regulators were using with those maintained by the trading desk. Differences in the reference data and timeliness of calculation meant that the risk management department was reporting inconsistent and sometimes erroneous numbers to the regulator. Whilst the project was in flight, market volatility grew to unprecedented levels, driving up the department’s significant contribution to the banks daily VaR number and in turn raising government enforced capital requirements. The project had therefore to deliver rapidly to improve accuracy of the bank’s regulatory reporting to relieve pressure on the business at a very difficult time. RCloud team took over project management and business analysis on the project after it had become clear that internal resources were not sufficient. The team were able to rapidly identify that the project would deliver an unsuitable solution, which, most notably, would not meet the underlying business driver for starting the project, the need to align risk numbers between risk management and the trading desk. The RCloud team revisited the design phase of the project which had not been completed effectively and re-focused the project whilst it was in flight. Through the provision of project management tools and techniques, RCloud were able to bring together four teams of developers, two support teams , two testing teams, Front Office, Middle Office, Finance and Risk to work together consistently and effectively. To test all the new components and simulate the 12,000 number of computing actions that needed to take place every night, a complex 24/7 testing programme was designed and put in place to ensure optimisation of the test hardware that was available.