This is an interim project I did in the period June 2011- Jan 2012 at a Dutch Bank.
The implementation of a new treasury and risk management system at a bank called for a formal validation of the both the system output, as well as the system configuration.
Validation / Configuration:
Defining swap curves, contributing rates and interpolation method. Validate discount curves and pricing models on linear products: deposits and loans bonds, interest rate swaps, forward, cross currency swaps
Validate VAR calculations and risk reports: replicate the VAR calculation of various deal types.
Development:
Develop liquidity management and risk management model for maturing and non-maturing accounts.
Various IT tasks: works on Bloomberg and Reuters interfaces, Excel tools, writing SQL Server queries and scrips.