MODIFICATION
D -- Enterprise Risk Management System
- Notice Date
- 9/4/2003
- Notice Type
- Modification
- Contracting Office
- Federal Housing Finance Board, Office of Resource Management, Office of Resource Management, 1777 F Street, N.W., Washington, DC, 20006
- ZIP Code
- 20006
- Solicitation Number
- RFP-03-1000
- Response Due
- 10/7/2003
- Archive Date
- 10/22/2003
- Point of Contact
- David Lee, Senior Acquisition Official, Phone 202-408-2514, Fax 202-408-2895, - Meschelle Young, Procurement Specialist, Phone 202-408-2814, Fax 202-408-2530,
- E-Mail Address
-
leed@fhfb.gov, younga@fhfb.gov
- Description
- The Finance Board is seeking to acquire an Enterprise Risk Management (ERM) System (i.e., risk management software) to serve as the infrastructure (i.e., software platform) to measure the market risk exposures of each of the FHLBanks. The base system software would be used to measure the market Value at Risk (VaR) of the FHLBanks, individually and as a group. The base system will also be used to perform a comprehensive market-value-of-portfolio-equity (MVPE) sensitivity analysis. This includes generating “market value” reports showing the estimated present value of an institution’s portfolio under a variety of interest rate scenarios. The system must be capable of accurately and efficiently valuing and calculating risk analytics on a large number of fixed-income assets, liabilities, and off-balance sheet items. It is essential that all valuation and risk analysis be conducted using a lattice or Monte Carlo approach fully taking into consideration any embedded optionality, and incorporating implied volatility as a risk factor. This is a firm fixed price contract except for software installation, user training, and technical support which are on a time and materials basis. For more information, contact David A. Lee, Senior Acquisition Official, Office of Management, Federal Housing Finance Board, 1777 F Street, N.W., Washington, D.C. 20006, voice: 202/408-2514; facsimile: 202/408-2895; email: leed@fhfb.gov.
- Web Link
-
Link to FedBizOpps document.
(http://www.eps.gov/spg/FHFB/ORM/WashingtonDC/RFP-03-1000/listing.html)
- Place of Performance
- Address: 1777 F Street NW Washington, DC
- Zip Code: 20006
- Country: USA
- Zip Code: 20006
- Record
- SN00426420-F 20030906/030904214113 (fbodaily.com)
- Source
-
FedBizOpps.gov Link to This Notice
(may not be valid after Archive Date)
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