Counterparty Risk Methodology Enhancement, Advice and Implementation

Major Singaporean Bank

Client Requirement:

The bank wanted to improve the sophistication of its counterparty risk models and bring them into line with best market practice. This would provide for more accurate modelling from a risk management perspective, and also allow for additional business/lower capital usage/facilitation of CVA from a front office perspective.  Recent internal and regulatory requirements also required the calculation of new risk metrics.  These developments were required to take into account both global industry best practice but also local/regional Asian market considerations. 

Our Engagement:

InteDelta was engaged by the client to provide consultancy support to this initiative. This included:

  • Advising on improvements to the risk analytics;
  • Developing new models for interest rate, FX, equity and credit derivatives;
  • Producing functional specifications for implementation of models;
  • Project management of implementation – this included liaison between the front office and risk teams, the bank’s IT function and the vendor;
  • Producing the bank’s risk measurement policy;
  • Providing technical and system training.

Our Approach:

The aim of this engagement was to provide best practice expertise combined with a structured delivery approach to the client and at the same time develop the ability of the client’s internal staff to be able to play an important role through the project lifecycle and thereafter.

Throughout the engagement we worked closely with internal teams to understand the approaches adopted, challenges experienced and the complexity of the internal environment and ensured that the project deliverables met their business goals.

Business Benefits:

Through leveraging InteDelta’s expertise and proven analysis methodology, the client ensured that the business and functional design of its counterparty risk infrastructure met best practice standards and delivered true business benefit in mitigating credit and counterparty risk.

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