Creation and development of models for the calculation of market risk and credit risk
Ad Hoc Sistemi has developed for Banco Popolare, banking group made up of many local banks, a set of reports for the evaluation of market risk and credit risk.
Banco Popolare developed internally models to calculate the credit and market risk for which it will have to deposit resources. These models must be primarily validated internally and in some cases by the ECB and the Banca d'Italia. It is therefore necessary to be able to demonstrate and highlight that the results of these models are credible and in line with the reference database.
With the help of QlikView dashboards have been created that allow you to navigate, analyze, validate, reconcile and so certify Data Quality that representing both the input to the risk models used either the output. The source feeding the data resides both on Oracle databases that host SQL Server, csv, txt etc.
The systems were developed using QlikView for Business Intelligence part, Sql server, Oracle.