InteDelta's Nick Newport discusses current trends in managing CVA.
InteDelta launches Risk Integration Services
Gaining from your own default, InteDelta releases paper on Counterparty credit risk and DVA
InteDelta launches Credit Valuation Adjustment Target Operating Model Review
InteDelta survey on Economic Capital for Market Risk
InteDelta announces an expansion of its services. In addition to our core service of deliverables based consulting a new risk resourcing product has been launched which enables institutions to supplement their internal resources from InteDelta’s pool of consultants. Consultants’ specialisms range from quants to project managers and business analysts across market, credit and operational risk.
Over the coming months InteDelta will be launching additional product lines including market intelligence, training and outsourced risk services, signifying a step change in our continued expansion. Many of the new services are already currently provided under the consultancy banner, but the creation of these new product streams will allow a more focussed approach.
InteDelta has launched a service which will benchmark an institution’s counterparty risk management approach against the recently released report “Containing System Risk: The Road to Reform,” produced by the highly influential Counterparty Risk Management Policy Group. This will include all relevant areas such as governance, risk measurement, systems, trading practices and risk policies.
Please click here for further detailsInteDelta is happy to announce that we will be sponsoring Risk Magazine's 2010 Risk Europe event. The event will be taking place in Frankfurt from the 25th-28th May.
Risk Europe brings together risk management experts from banks and investment firms, academics, regulators and think-tank advisors from leading institutions to lead over 40 sessions covering the complete spectrum of risk management, giving attendees the opportunity to discuss the practical challenges of a range of topics including stress testing, systemic risk, counterparty risk, effective portfolio management and much more.
Click here for further information about Risk Europe 2010InteDelta, the risk management consultancy, has launched the InteDelta Collateral Operating Model Review. The review is a structured and proven method for assessing controls and efficiency within the collateral management operations of financial institutions.
Click here for more informationFollowing the success of last year's event, InteDelta is happy to announce that we will once again be sponsoring the Jacob Fleming Collateral Management conference. The event will be taking place in Amsterdam on the 21st and 22nd October.
The event will bring together collateral experts from many leading financial institutions and will cover the hot topics in the ever changing collateral space.
To receive a copy of the event brochure and to learn how to register please click the link below.
3rd Collateral Management Forum brochureInteDelta's Credit Valuation Adjustment (CVA) Target Operating Model offering is a structured and proven method for designing a process for active counterparty risk management and credit charging within financial institutions.
Click here for further informationInteDelta’s Risk Integration Services offering is aimed at helping financial institutions going through post merger integration to bring together the respective risk management areas of the merging entities.
Click here for further informationInteDelta was formed in 2004 as a niche consultancy focusing on risk management and quantitative finance. Since our formation, our client base and range of services have grown, but we remain true to our initial founding aims.
InteDelta’s management team are Michael Bryant and Nicholas Newport.
Michael Bryant is our Managing Director. He oversees the company’s strategy, and from a consulting perspective he specialises in risk policy, governance and methodology. Prior to founding InteDelta Michael was a Managing Director at ING Bank in London where he was globally responsible for financial markets risk measurement. Michael qualified as a Chartered Accountant with Coopers & Lybrand in London.
Nicholas Newport specialises in risk infrastructure, project management and change management. Prior to co-founding InteDelta he worked for ING Bank in London, where he was responsible for ING’s global credit risk management programme for financial markets. Before this he was a Senior Manager within market risk management at Standard Chartered Bank in London and Singapore.
Our team of consultants range from former chief risk officers and heads of credit to quants, project managers and business analysts.
Origin of the name “InteDelta”

European investment bank
UK
The client had an ongoing programme for the validation of pricing and risk analytic models. The models within the bank’s fixed interest derivative system were due to be validated, but the documentation for the models and the representation of products within the system was incomplete. The bank needed assistance in developing the validation programme. The products covered ranged from vanilla to exotics.
Due to the lack of documentation much of the system and the models had to be reverse engineered. Once this had been done we produced a detailed validation plan in line with the client’s own validation policies.
Retail banking division of large banking group
UK
The bank was in the process of preparing the documentation for its Basel II waiver submission to the FSA. The documentation was prepared by each business unit and consolidated by a group function. The documentation pack amounted to several hundred documents and the group function needed to ensure the completeness, relevance and consistency of the documentation.
We reviewed the documentation based on our Basel diagnostic tools. The review was designed to identify gaps in the documentation, inconsistencies and any areas of non-compliance with Basel rules. The deliverable was a detailed report which identified the areas where remedial action needed to be taken. The scope included all aspects of the Basel process including models for ratings, LGD, EAD, CCF, data and systems, management information and governance.
US Investment manager
UK and Ireland
The client had embarked upon a project to implement a reference data system which provided a central source of reference data for all its applications. The client needed additional resources to manage the testing process.
We provided business analysis and project management resources for this project.
Wholesale division of European banking group
UK
The client was in the early stages of considering upgrading its credit risk systems and the methodologies used in the calculation of exposure for its derivatives portfolio. The client wished to have its practices benchmarked against its peers and to have an independent assessment of the strategic direction it should take.
We conducted a market intelligence study of the bank’s peers covering the methodologies used to calculate credit exposure and the risk systems used.
We benchmarked the client’s methodologies and systems against the market and recommended a strategic direction the bank should follow. This analysis included a comprehensive assessment of the various alternative methodologies, and sample portfolios were analysed under the alternative methodologies.
Private bank/asset manager
Switzerland
The client acted as investment manager for a number of portfolios containing hedge fund and private equity investments. Gearing was provided against the security of these investments at conservative advance ratios. The client wished to develop a quantitative model to assess the risk in this lending activity and also be able to adjust its lending policy to be more in line with the risk undertaken.
We developed a model to stress test the portfolio to confirm the adequacy of margins. The model also calculated the advance ratios taking into account the diversification and correlation between assets in the portfolio.