Client case for Natixis
Stress test
Location
Paris
Project's functional area
Project: Improve and develop all stress test cases and analyze and explain the results
Technological environment
Client methodology with 1 BA Risk Consultant
Detailed description of the project
- Analysis of reported problems concerning stress levels and analysis tools (explanation of stress by sensitivities, breakdown of stress by effect, rehedging, delta hedge, etc.)
- Improving and securing our procedure for monitoring stress tests and developments
- Monitoring of change requests from customers: specification, acceptance, production and user training
- Ability to work within well-defined and short deadlines
Drawbacks and key success
Objective: Securing stress tests
Action: Reliability of analysis tools
Result: Significant improvement of tools for validation of stress tests
Action: Reliability of analysis tools
Result: Significant improvement of tools for validation of stress tests