AMERICAN FINANCIAL TECHNOLOGY AWARDS: Best Counterparty Risk Initiative: Scotia Capital

Mark Engel, Scotia Capital

Scotia Capital had been operating with conservative measures that did not provide a consolidated view of counterparty credit risk (CCR). With many firms moving to dynamically price CCR directly into new trades using credit value adjustment (CVA) in real time and incrementally, they can price those trades more aggressively to reduce risk. Without such ability to properly assess CVA, Scotia Capital was losing business.

The firm had been measuring potential future counterparty exposures and CVA by

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