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MODEL AND MARKET-DATA (CURVE CONSTRUCTION) VERIFICATION FOR FINANCIAL REPORTING


  • Solicitation Number: RFP 20-0539
  • Issue Date: Aug 27,2019
  • Closing Date: Sep 16,2019
  • Institution:  IBRD

CLOSING DATE AND TIME:  SEPTEMBER 16, 2019 @ 5.00 PM WASHINGTON, DC TIME

The World Bank (“WB”) is replacing its valuation platform for bonds and derivatives in the capital markets line of business to Numerix Oneview. The Valuation & Analytics team of the WB seeks to augment internal resources to assist the WB team in model and curve construction verification. The areas in scope for verification are trade terms set-up, payoff verification, model testing and documentation, sensitivity analysis, curve construction of underlying curves compilation and presentation of results.

In this (second) phase, 7 deal types (Deal IDs) will be migrated and curve construction in 34 currencies will be undertaken. As the trades under scope are all vanilla in nature the models used to price them would be deterministic in nature and model testing would largely relate to curve construction of the underlying interest rate curves. Additionally, CVA, DVA and FVA (jointly XVA) on the migrated portfolio of trades will be calculated and needs to be verified.

The services are required at the WB’s office in Singapore.

The solicitation may be obtained by sending an email to the designated Category Manager, referencing the following information:

1. Solicitation Number

2. Company Name

3. Contact Person Name and Title

4. Address

5. Telephone Number

6. Fax Number

7. Contact's Email Address

A copy of the solicitation will be sent to organizations that have replied to and are eligible to receive this advertisement. All requests and questions regarding this solicitation shall be directed to the following designated Corporate Procurement Category Manager(s):

Claudiu P. Danciu at cdanciu@worldbank.org (mailto:cdanciu@worldbank.org)

The WBG reserves the right to publicly disclose contract award information, including but not limited to, name of company receiving the award, brief description of services, and contract award amount, for any contract award valued over US$250,000.  Offeror's proposal and contractual documents will remain confidential and therefore not subject to disclosure. 

The World Bank reserves the right to reject any or all responses without recourse.  

The World Bank reserves the right to reject any or all responses without recourse.