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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.

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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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