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USE CASE

Credit Risk System for Investment Bank

Home » Use Cases » Credit Risk System for Investment Bank

Monte Carlo simulation calculating counterparty credit risk using real time trade and market data.

Sinara worked at an international investment bank over a 5-year period to enhance and support an in-house credit risk system.

An international investment bank had developed a system to measure the credit risk resulting from its varied portfolio.

Sinara’s initial task was to undertake a study of the options for improving and extending the existing system. The remit included an examination of existing and new business requirements; a detailed review of the design, effectiveness and efficiency of the existing system; and proposals for the way forward.

The Treasury Risk Management system calculates counterparty credit risk based on current trade and market data. Its main mode of operation is as a batch, run overnight in normal operation, calculating exposure profiles from the relevant end of day transactions and market data.

The resulting profiles are automatically loaded into a second system where they are used in conjunction with credit limits to assess ongoing and future counterparty credit risk. The method of exposure calculation is a Monte Carlo simulation.

Over a period of time, Sinara improved the stability of the system and adapted it to reflect changing control measures and modelling of financial instruments.

The system consists of:

a calculation engine written in multiplatform C++
a grid of servers capable of delivering up-to-date results overnight
a web front-end to manage and view results (JSP, Ajax, JBoss, Spring, Oracle)

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Why the markets choose Sinara

30 years’ experience across the trading lifecycle
Pre-built trading modules accelerate speed to market
Software expertise to customise complex integrations
Everything is 100% supportable and sustainable

We are the trade engineering people.

Ready for the next step?

Whether you have detailed requirements for your new business IT solution or wish to discuss your initial thoughts and ideas, contact us to see how Sinara can help.

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