Counterparty Credit Risk

Derivatives Credit Exposure Management for Trading Book Products

Strategic Importance of Counterparty Credit Risk

  • Keeping trading book exposure within the risk appetite framework
  • Determining accurate capital requirements for the trading book

Our Approach

  • Potential Future Exposure (PFE) calculation methods such as Monte Carlo Simulation
  • Derivative pricing/stochastic processes
  • Market data modelling (e.g. forward curve construction)
  • Portfolio management techniques
  • Correlation modelling

Why Fintegral?

Credentials:

  • More than 20 years of hands-on experience managing counterpart credit risk at tier 1 banks
  • Design and implementation of a regression pricer for exotic products at a Globally Significant Investment Bank (G-SIB)
  • Extensive track record of validating exposure models
  • Development of a reduced dimensionality Heston model for CCR at a large European investment bank
  • Detailed knowledge of derivative products across all asset classes

Proprietary Tools:

  • Fast Exposure Simulator developed in Python
  • Stress Testing Tool

Fintegral Case Study: Counterparty Credit Risk