CVA Systems Advice

Major European Wholesale Bank

Client Requirement:

The bank had recently undertaken analysis to investigate the advantages of a more advanced approach to calculating CVA. As a next step it wished to improve the way in which CVA was calculated from a systems perspective. In order to do this successfully it required further detailed analysis around the various vendors that could provide such technology. In addition to calculating CVA, the bank also wished to use this technology for calculating a Monte Carlo based PFE, fully aligned with the CVA expected exposures calculation.

Our Engagement:

InteDelta was engaged to undertake a system selection focusing on systems that could meet the client’s combined CVA and PFE needs, providing subject matter expertise together with previous experience of selecting and implementing such tools.

This entailed defining the detailed business requirements for CVA calculations, managing all client stakeholders to identify additional needs and requirements specific to the bank and engaging the system vendors to assess their capabilities against the requirements. We then provided the client with a final recommendation of the best fit solution.

Our Approach:

Working with the client we reviewed the existing internal environment, liaising with key business and technology stakeholders and reviewing supporting documentation. This analysis was used as the basis for the definition of the functional requirements specifications, which the prospective vendor system solutions were assessed against.

In evaluating the vendor products, we utilised information gained from similar engagements to identify a shortlist of suitable vendors and then undertook further analysis to identify the vendor that best met the client’s requirements.

Business Benefits:

Through leveraging InteDelta’s expertise and CVA systems knowledge, the client ensured that the technology platform chosen would be the best fit choice for the bank. In addition, the time taken to choose the vendor solution was dramatically shortened.

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