Transforming Risk Management with ML: Automated Exposure Monitoring for a Global Bank

Challenges.

CRO function performs risk measurement & monitoring on daily basis for Counterparty Exposures, VaR, Expected Shortfall, DAR, IRC, DRC and other risk measures.

The client faced several operational challenges: 

• Manual Processes: Ad hoc DB queries, and excel based tools are used to check period-to-period variances in the risk measures on various dimensions like counterparty, region, LOB, & risk factors and for conducting attribution analysis.
• Data Silos: Multiple teams are involved in the data supply chain; the validation of pre calcs risk data, as well as calculated risk numbers is carried out for internal & external reporting.

Solution.

• Coforge teams documented the business understanding of the decision tree & steps involved in determination of attribution of the variance of risk measures based on critical dimensions.
• Built ML solution for classification of exposure movements, auto-generation of commentary to justify variances across range of products, regions & regulatory regimes.
• Built integrated risk monitoring dashboards that provide inputs for a comprehensive risk mitigation process for both Credit & Market Risk 
• Re-calibrated the business processes & controls. 

The Impact.

Key benefits to the client via our solution 

• An efficient business process based on automation of rules and ML models.
  
• Fully integrated risk monitoring operations workflow.
  
• Attribution of exposures moves was mapped to underlying risk factors and trades and relayed back to FO and market risk managers for limit monitoring & control.
  
• Helped mitigate operational risk by removing the manual processes.