Project content

(technical, contentual)

• Development of several Basel II calculation engines for the overall bank portfolio of a major German bank, according to the second Basel consultation document
• Support while performing the Quantitative Impact Study QIS 3
• Besides the professional engine, our team developed a software-technical infrastructure (data transformer for source systems, result database for tests and a fully automatic QIS sheet filler)
• The calculation engines cover all basic approaches (1st principle, the standard approach and both IRB approaches incl. retail)
• The security distributions are RWA-optimized and can include special QIS requests (interim results, elevations, weighting, segmentation etc.)

Duration

20+ months

Used technologies

(Platform(s), software architecture, programming languages)

• DB2 (Mainframe)
• MS Access
• MS Excel
• Oracle 9i
• QMF for Windows API

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