Counterparty Credit RWA Optimisation
Driving
Capital
Efficiency
The result was a multi-billion reduction in counterparty credit RWA
A European investment bank, engaged us to address populations of derivatives transactions that were failing to be processed via the internal regulatory approved expected positive exposure (EPE) calculation methodology.
Industry: Investment Banking
Challenges
Data Solution
Applied Data Analytics
We executed detailed data analytics in order to understand existing flows from multiple cross-business systems into the EPE calculation engine and to highlight error patterns.
Extractions
A series of extractions were established from each of the data transfer points – for example from the junction between the trade capture system and the valuation engine.
Analytics Tools
The required data “recipe card” for each transaction type was then overlaid using data analytics tooling to spot patterns of discrepancies forming at each point of the data flow.
Repeatable Logic
Repeatable logic ensured a monitoring infrastructure to give early warning of increasing exclusions.
Benefits
