• inside_market_data
  • inside_reference_data
  • buy_side_technology
  • sell_side_technology
Société Générale has turned to Algorithmics for CVA support

SocGén Selects Algorithmics For Counterparty Credit Risk

  • Send
  • Comment
  • Send to Kindle

Paris-based Société Générale Corporate and Investment Banking (SGCIB) has partnered with Algorithmics for the development of a credit valuation adjustment (CVA) solution.

SGCIB will use the software to price and manage counterparty credit risk over all asset classes on its CVA desk. The Algorithmics solution includes the vendor's Real-Time Credit Engine, and has the ability to deliver end-of-day and Monte Carlo-based potential future exposures, as well as CVA analytics, on an incremental basis.

"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," says Bob Boettcher, senior director of market and credit risk at Algorithmics. "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."

What is the CVA desk?

The accurate measurement and management of counterparty credit risk has become an area of focus since the financial crisis, as previously, many derivatives portfolios were marked-to-market without counterparty risk considerations being taken into account ─ so-called risk-free value. As it represents the difference between the valuation of a portfolio without risk measurement and that of one where the potential of counterparty default is taken into account, CVA is essentially the market value of counterparty credit risk. Changes in attitude and necessity toward tue values of derivatives portfolios have meant that CVA has become a crucial, although separated, aspect of a company's risk management architecture.

  • Send
  • Comment
  • Send to Kindle

Winner's Announced: Sell-Side Technology Awards 2014

View the winners...

The winners of the 2nd annual Sell-Side Technology Awards 2014 were announced in New York on April 15. These awards recognize the leading technologies and third-party vendors in their area of expertise, through an auditable and transparent methodology. To view the winners across the 24 categories click here.


Latest Whitepapers


Tackling Teething Troubles: Examining the Current State of the OTC Derivatives Market

The over-the-counter (OTC) derivatives market is in the midst of a global regulatory restructure. Authorities in Europe, Asia and the US are currently...


A data-centric approach to portfolio management

A fast, flexible and reliable investment decision-making process must be based on access to accurate and consistent information throughout an organization....