Vendor Selection for Counterparty Risk Management System and Advice on Risk Measurement Approach

Major Dutch Bank

Client Requirement: 

The client was selecting a risk engine for the measurement of economic capital and potential future exposure for its derivatives portfolio. The client needed assistance in the selection and proof of concept process.

Our Engagement:

InteDelta was engaged to undertake a system selection focusing on systems that could meet their counterparty risk needs, providing subject matter expertise along with previous experience of selecting and implementing such tools in to the engagement.

This entailed defining the detailed business requirements for PFE 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 for them.

Our Approach:

On commencement of the engagement we worked with the client to define the business requirements for the new solution, leveraging off familiarity of the client developed through previous engagements and experience of counterparty risk requirements gathering gained from other client projects.

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 counterparty risk systems knowledge, the client ensured that the tool chosen would meet the demands of the bank. In addition, the time taken to choose the vendor solution was dramatically shortened.

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