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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.

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