Thomas Hergenhahn

Thomas leads the HKB’s risk and reg solution architecture practice in London. He helps financial institutions to integrate the best solution for their business model by responding with the latest regulations and technical trends.

Thomas was a Senior Consultant and worked on the LSP2 (Legal Structure Program) in Regulatory and Risk Reporting. He created business case, implementation plan, target architecture, data and business requirements. Further he managed UAT testing and Dry Run of FINREP IFRS9 reporting.

Conducted a Targeted Review of Internal Models (TRIM) Inspection on behalf of the ECB to enhance the credibility and confirmed the adequacy of approved Pillar 1 IRB for calculating own funds. Focused on the reduction of unwarranted variability in RWA, testing and audited the Data quality process according to CRR, CRD-IV, RTS and BCBS 239.

Project INDY - Integration of the regulatory reporting solution of the new merged Bank in Estonia, Latvia and Lithuania.

Thomas worked on the Värdepappersinnehav (VINN) project concerning statistics on holdings of fixed income securities, equites, REPOS, short positions, structured products and securities in custody with a data warehouse reporting solution.

Analysis on the risk calculation engines and regulatory reporting systems of RegGAE and OneSumX (Summix, REGPRO) to ensure that Irish and UK branch comply with CRD-IV and Statistical notes of Bank of England.

Business Analysis of Credit Risk Regulatory Risk for Basel-III. Responsible for ensuring compliance according to CRR/ CRD4.

Thomas was a Project Manager and Senior Business Analyst for the Liquidity Risk Reporting Project Jala in Wholesale Market & Treasury Trading. He worked on the full project life cycle of the new liquidity risk reporting engine.

Thomas worked on the analysis of the Cash Flow Forecasting and Stress Testing. He documented and enhanced the business from a qualitative stress test model to a quantitative model (logistic regression). He advised the firm to get compliant with new FSA requirements of PS 09/16 “Strengthening liquidity standards” and CP 08/22.

He analysed the Balance sheet statistics, interest rate statistics, security deposit statistics, payment statistics, risk reporting BASEL-II (Credit Risk & Market Risk) and Liquidity Reporting. He advised the client how to get a new bank license for a new foreign branch and how to become compliant to the regulatory reporting of the foreign and local authorities.

Thomas advised clients (Clearstream, Commerzbank, Credit Agricole, Dresdner Bank, Deutsche Bank, Elavon and HSH Nordbank) how to customise and source the reporting risk engine FIRE for BASEL-II reports (COREP) and IFRS (FINREP). He worked as an International Business Analyst on full project life cycles and supported releases of FIRE in different countries.

Thomas gathered the BASEL-II business requirements and created the data model of the risk engine. He wrote the functional specification and compared gaps with BIPRU. He ran SIT of a .NET developed risk engine and managed UAT testing of the front-end application. Thomas Created test cases and plans with a Test Matrix for Standardised and IRB Approach.

Thomas supported the whole project lifecycle of the Data Warehouse system GEAR. He gathered the business requirements, estimated the workload, presented the changes to the business, wrote functional specifications, discussed the changes with the development team, prepared and performed test cases.

Thomas analysed the BASEL-II requirements on the client side. He specified the inbound and outbound feeds of the Credit Risk Engine Fermat. He created data models and designed a DW solution for all Financial Instruments (Swaps, Forward interest rates, Futures, Options and Credit Derivatives)