The Bond Risk Analyzer automates the review of bond-related exceptions, focusing on resolving BondCalc (Risk Calculation System) failures and validating risk analytics. It uses decision tree logic to streamline exception handling and improve efficiency.
Automated Exception Handling: Identifies and resolves bond-related issues, including BondCalc failures. Proxy CUSIP (Security Identifier) Generation: Dynamically identifies proxy CUSIPs based on bond attributes (e.g., security type, coupon type). Risk Validation: Checks attributes like Static Yield, Model OAD, and YTM for consistency. Data Processing: Outputs structured summaries of exceptions, including root cause analysis.
Language: Python Libraries: pandas, datetime Input: Excel file (test.xlsx) with bond exception details. Output: Summary of exceptions with statuses, root causes, and proxy CUSIPs.
Clone Repository: git clone https://github.com/huacenxu/bond-risk-analyzer.git cd bond-risk-analyzer
Run Script: Place test.xlsx in the data/ folder and execute:
Sample Input Data
| CUSIP | AladdinClient | NewRiskClient | StaticYield | ModelOAD | YTM | ExceptionDescription |
|---|---|---|---|---|---|---|
| ABCD1234 | ClientA | Risk001 | 1.5 | 0.3 | 0.5 | BondCalc Failure |
Output: Displays a DataFrame of processed exceptions. Results can be exported as a CSV.
Add advanced logic for handling additional bond attributes. Integrate predictive analytics for exception handling. Connect with upstream systems for root cause analysis.