• 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

More from Sell Side Technology

Sign-up for WatersTechnology email newsletters

Register for regular alerts to receive up-to-date news directly into your inbox

Related Articles

Latest Media


Visitor comments Add your comment


Add your comment

We won't publish your address

By submitting a comment you agree to abide by our Terms & Conditions Your comment will be moderated before publication

Submit your comment

Work with us on your Integrated Marketing Campaigns

Do you have bespoke research requirements?

WatersTechnology offers a full range of custom research, surveys, webcasts, video and whitepapers for firms looking to demonstrate thought-leadership through their marketing campaigns and generate sales leads.


Latest Whitepapers


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....


Taking on Tablets: BYOD On The Trading Floor

We have truly entered the Age of Bring Your Own Device, or BYOD. And as with every new era fuelled by innovation, the new challenges are screaming for...