The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

Société Générale Chooses Algorithmics’ CVA Solution

Algorithmics, the leading provider of risk solutions, announced today that Société Générale Corporate & Investment Banking (SGCIB) has chosen to work with Algorithmics, to develop a counterparty credit valuation adjustment (CVA) solution that the CVA desk will use to actively price and manage counterparty credit risk (CCR) across all asset classes.

David Murphy, Head of CVA Desk, SGCIB Capital Markets, commented: “Pricing and active management of counterparty risk are of critical importance to financial institutions and they place rigorous demands on CVA software for performance, real-time response time, and front office 7×24 operations. After a thorough evaluation, we are looking forward to working with Algorithmics on this exciting project.”

In the aftermath of the credit crisis, improving counterparty credit risk management has become an important consideration for all financial institutions.  Leading firms recognize that to effectively manage the business incentives for mitigating CCR within their operations, they need to centralize and quantify CCR for individual business lines by establishing a CVA desk.

Bob Boettcher, Senior Director of Market and Credit Risk at Algorithmics, said: “Intelligent charging for credit risk is of fundamental importance; we’ve invested five years of research into the challenge of delivering accurate CVA measures at speeds that traders demand. Société Générale’s CVA desk project will support more risk-aware trading decisions with a consistent analytical and technical framework for risk managers and traders. When fully integrated within a firm, the CVA desk function has the potential to act as a catalyst for bringing together different areas of the bank with influence over CCR, such as collateral management, market risk, credit risk, and credit derivatives trading. We are delighted to extend our ongoing relationship with Société Générale on such an important credit risk project.”

Algorithmics’ CVA solution for the front office includes the award-winning Real-Time Credit Engine. This production-proven, real-time solution has been designed to provide consistent results 24×7, and deliver both end-of-day and incremental Monte Carlo based PFE (potential future exposures) and CVA analytics. The speed and accuracy of our calculations has been the focus of over ten years of research and development. The result is a solution designed to meet middle office requirements for depth and breadth of analysis and reporting, and front office requirements for instant results that are easy to understand and use.

Related content

WEBINAR

Upcoming Webinar: Brexit: Reviewing the regulatory landscape and the data management response

Date: 11 May 2021 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes With Brexit behind us and the UK establishing its own regulatory regime having failed to reach equivalence with the EU, financial firms face challenges of double reporting, uncertainty about UK regulation, and a potential exodus of top talent. The...

BLOG

Time for Financial Institutions to Take Back Control of Market Data Costs

By Yann Bloch, Vice President of Product Management at NeoXam. Brexit may be just around the corner, but it is market data spending that financial institutions are more interested in taking back control of right now. In fact, other than regulatory equivalence post the transition period, it is hard to think of a more prominent...

EVENT

Data Management Summit New York City

Now in its 10th year, the Data Management Summit (DMS) in NYC explores the shift to the new world where data is redefining the operating model and firms are seeking to unlock value via data transformation projects for enterprise gain and competitive edge.

GUIDE

Regulation and Risk as Data Management Drivers

A-Team Group recently held a webinar on the topic of Regulation and Risk as Data Management Drivers. Fill in the form to get immediate access to the accompanying Special Report. Alongside death and taxes, perhaps the only other certainty in life is that regulation of the financial markets will increase in future years. How do...