A leading international investment bank, providing banking, investment and funds management services in Asia Pacific, Europe and North America recently partnered with Excelian, acting as system integrators, for the delivery of a new strategic middle office risk system formulated to calculate Counterparty Credit Risk (CCR) risk for its internal risk managers.
The primary objective was to provide an industry standard method of calculating CCR within the bank. Through the use of third party analytics software, HPC, Java, and Messaging technology, Excelian implemented an innovative system to quantify CCR using a Monte Carlo-based revaluation and aggregation simulation method. The final production solution calculated Potential Future Exposure Risk (PFE) and Mark-to-Market (MTM) CCR measures across a range of asset classes in less than 45 minutes.
Excelian was primarily responsible for the provision of credit risk and core technology expertise to the project in the following areas:
- Analytics integration: using a team of on-site consultants with of deep knowledge of integrating third party analytics components.
- Engineering: building the core distributed grid platform (Microsoft HPC Server) used for fast batch and pre-deal risk calculations.
- Development: assisting with the integration of in-house trade systems and pre-deal capabilities.
The successful completion of the project enabled the bank to produce robust credit valuations that are consistent with underlying market exposures and provide on-demand calculations for new deals, allowing risk managers to better understand the cost of trading with a given counterparty.
Vidyut Shetty, Excelian’s Head of Technical Consulting in APAC commented on the success “Excelian worked with the client to realise their vision of credit risk reporting and real-time risk management. We have delivered great business value to the client which now differentiates them in a highly competitive market.”
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