Germany - Consultancy Services for Financial Risk Management

Description

A sound management of risks is paramount for the fulfilment of the ECB’s mandate. The ECB’s directorate risk management (DRM) is responsible for protecting the Eurosystem against financial risks in the conduct of its monetary policy operations and the ECB in its investment operations.The ECB is looking for a supplier that provides the following services:— Lot 1: performing assignments upon request from D/risk management; such assignments will be related to the implementation, process optimisation or enhancements to the ECB’s ongoing due diligence activities in the context of the Eurosystem’s purchase programmes as well as similar programmes which could be considered in the future, covering mainly ABSs, covered bonds and corporates;— Lot 2: development and management of models and tools related to financial risk management.
Performing assignments upon request from D/risk management; such assignments will be related to the implementation, process optimisation or enhancements to the ECB’s ongoing due diligence activities in the context of the Eurosystem’s purchase programmes as well as similar programmes which could be considered in the future, covering mainly ABSs, covered bonds and corporates:— in-depth reports in the due diligence assessment of structured finance instruments (asset-backed securities and covered bonds) and (debt of) non-financial corporates;— data collection and development of tools to enhance the conduct of due diligence;— assessment reports of corporate action notifications for specific transactions from a due diligence perspective and/ or on an ad-hoc basis;— provision of ad-hoc analysis and calibration of main risk models parameters (e.g. breakeven constant default rate (B/E CDR) of ABSs and covered bonds in stressed scenarios.Ongoing advice and assistance in the context of the ECB’s due diligence activities related to the Eurosystem’s purchase programmes as well as similar programmes which could be considered in the future, covering mainly ABSs, covered bonds and corporate bonds:— assistance in the due diligence process of structured finance instruments (asset-backed securities, covered bonds and corporate bonds);— advice and assistance in the regular monitoring or ad-hoc monitoring of the APP;— advice and analytical support in data collection and development of tools to enhance the conduct of due diligence;— assistance in ad-hoc analysis and calibration of main risk models parameters (i.e. breakeven constant default rate (B/E CDR) of ABSs and covered bonds in stressed scenarios;— assistance and support with any other requests from the ECB’s directorate risk management related to due diligence activities in the context of the Eurosystem’s purchase programmes 1) development and maintenance — and related advice and assistance — of models and tools relating to the risk assessment (e.g. credit risk, market risk) of various financial instruments, portfolios or counterparties, including but not limited to:(a) structured financial instruments,(b) instruments with complex payoffs,(c) portfolios (including investment- and monetary policy-portfolios),(d) issuers, and(e) market players;2) development, documentation, implementation of risk models (up to ready-to-use state) that are replicable, cost efficient, applicable and considerate of the specifics of the ECB’s financial market operations;3) simulation techniques and efficient numerical methods with risk management applications;4) maintenance and development of risk modelling tools, including:(a) the development of end-user user interfaces (e.g. returning risk figures from inputs without additional manual interference), and(b) the training of the staff on the usage and maintenance of tools;5) back-testing and benchmarking of models and tools against industry best practice;6) Analytical and IT support on credit risk-related topics, including:(a) historical assessment,(b) comparison, mapping of credit assessment systems to the Eurosystem harmonised rating scale,(c) collection and aggregation of data submissions from the various credit assessment systems approved under the Eurosystem Credit assessment framework,(d) counterparty credit risks, and(e) support on the Eurosystem’s internal credit assessment capabilities (including of structured finance instruments);7) development of analytical tools and methodologies and analytical support relating to pricing and valuation aspects of the Eurosystem’s policy frameworks, including market and feasibility studies. Illustrative examples of topics in this regard include:(a) market liquidity conditions,(b) risk control measures,(c) valuation of complex financial instruments, and(d) secondary loan market practices;8) Development of analytical tools and models, as well as further analytical support relating to risk management aspects of the Eurosystem’s policy frameworks, including:(a) early warning systems,(b) collateral resolution issues, and(c) transparency arrangements (maintaining/updating these arrangements and developing new ones where necessary e.g. ABS loan-level data initiative);9) Designing, automatising, delivering and optimising data interfaces with direct links between internal and external data vendors including, among others:(i) Bloomberg Professional,(ii) Thomson Reuters EIKON,(iii) Markit,(iv) Datastream,(v) Intex,(vi) ABSnet, etc. and(vii) internal tools;10) design and application, as well as advice and enhancement of automated test and reconciliation frameworks (i.e. regression testing, setup tests from a financial risk perspective, test coordination, validation of data models and workflows);11) analysis of the ECB’s directorate risk management business processes and advice and support on their translation into rule based processes and scripts in view of their automation;12) advice and assistance with any other requests from the ECB’s directorate risk management.

Opportunity closing date

06 September 2020

Value of contract

£1m-5m