Sell-Side Technology Awards 2023: Best sell-side credit risk product—S&P Global Market Intelligence

Overview

S&P Global Market Intelligence’s XVA and Counterparty Credit Risk solutions are designed to help banks establish their optimal business strategy by supporting cost, risk-weighted asset (RWA), and balance sheet rationalization, as well as model approval and pre-trade decisions. Risk management professionals can run portfolio credit risk and valuation adjustment calculations on large, global portfolios of complex instruments with accuracy, transparency, and speed. They can access an extensive range of credit risk simulations, pricing, and aggregation models.

The solution

S&P Global’s XVA and Counterparty Credit Risk solutions allow banks to generate deal-time insights for front-office and XVA teams with a detailed view of valuation adjustments from counterparty credit risk to funding, collateral margin and regulatory capital. They also support banks when it comes to complying with counterparty credit risk and regulatory capital requirements such as internal methods models (IMMs) and the standardized approach for counterpart credit risk (SA-CCR).

Secret sauce

S&P Global’s differentiators are a combination of high-performance computing that takes advantage of big data technology as well the depth of data available from the firm. Its solutions are deployed in the cloud, allowing clients to take advantage of elastic computing on-demand.

Recent milestones

• XVA sensitivities what-if analysis
• Machine learning for fast, accurate XVA calculations
• New Quasi Brownian Bridge random number generator provides a consistent level of accuracy with approximately 50% reduction in the number of simulation paths
• Calibrating the simulated short rate model to the market using chevron-shaped swaption data
• Advanced collateral modeling, including rating dependent thresholds and physical collateral
• Tailored packages for clients transitioning to risk-free rates

Future objectives

S&P Global will continue to develop new interfaces and new calculation methods.

Why they won

S&P Global Market Intelligence’s win in this year’s best sell-side credit risk product category is thanks to a combination of its XVA and Counterparty Credit Risk solutions, which, when used in tandem, allow risk practitioners on both sides of the industry to manage portfolio credit risk and valuation adjustment calculations on large, global portfolios of complex instruments accurately and transparently. At a time when credit risk issues have never been more prominent across the industry, S&P Global has upped its game across the sell side and is now without doubt one of the go-to providers in the perennially competitive credit risk realm.