Société Générale Chooses Algorithmics’ CVA Solution

Share Article

Algorithmics, the leading provider of risk solutions, announced today that Société Générale Corporate & Investment Banking (SGCIB) has chosen to work with Algorithmics, to develop a counterparty credit valuation adjustment (CVA) solution that the CVA desk will use to actively price and manage counterparty credit risk (CCR) across all asset classes.

www.algorithmics.com

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.

Algorithmics, the leading provider of risk solutions, announced today that Société Générale Corporate & Investment Banking (SGCIB) has chosen to work with Algorithmics, to develop a counterparty credit valuation adjustment (CVA) solution that the CVA desk will use to actively price and manage counterparty credit risk (CCR) across all asset classes.

David Murphy, Head of CVA Desk, SGCIB Capital Markets, commented: “Pricing and active management of counterparty risk are of critical importance to financial institutions and they place rigorous demands on CVA software for performance, real-time response time, and front office 7x24 operations. After a thorough evaluation, we are looking forward to working with Algorithmics on this exciting project.”

In the aftermath of the credit crisis, improving counterparty credit risk management has become an important consideration for all financial institutions. Leading firms recognize that to effectively manage the business incentives for mitigating CCR within their operations, they need to centralize and quantify CCR for individual business lines by establishing a CVA desk.

Bob Boettcher, Senior Director of Market and Credit Risk at Algorithmics, said: “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. 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. When fully integrated within a firm, the CVA desk function has the potential to act as a catalyst for bringing together different areas of the bank with influence over CCR, such as collateral management, market risk, credit risk, and credit derivatives trading. We are delighted to extend our ongoing relationship with Société Générale on such an important credit risk project.”

Algorithmics’ CVA solution for the front office includes the award-winning Real-Time Credit Engine. This production-proven, real-time solution has been designed to provide consistent results 24x7, and deliver both end-of-day and incremental Monte Carlo based PFE (potential future exposures) and CVA analytics. The speed and accuracy of our calculations has been the focus of over ten years of research and development. The result is a solution designed to meet middle office requirements for depth and breadth of analysis and reporting, and front office requirements for instant results that are easy to understand and use.

For more information about Algorithmics' counterparty credit risk solutions, please visit: http://www.algorithmics.com/integratedrisk

For a copy of Algorithmics’ latest white paper, “Towards active management of counterparty credit risk with CVA”, visit: http://www.algorithmics.com/CVA.

For further information please contact:
Heather Smith, Senior Communications Manager, Algorithmics (UK) Ltd
Direct line +44 (0) 20 7392 5820 Mobile +44 (0) 7515 974223
E-mail Heather(dot)smith(at)algorithmics(dot)com

Notes to Editors:
Société Générale Corporate & Investment Banking, one of the three pillar businesses of the Société Générale Group, is present in all major markets, with close to 11,000 employees in 33 countries across Europe, the Americas and Asia-Pacific. It is centred on the sound principles of serving the long-term needs of our clients, sustaining growth by building on our key strengths, and applying rigorous risk management across our activities.

Algorithmics is the world's leading provider of risk solutions. Financial organizations from around the world use Algorithmics' software, analytics and advisory services to help them make risk-aware business decisions, maximize shareholder value, and meet regulatory requirements. Supported by a global team of risk experts based in all major financial centers, Algorithmics offers proven, award-winning solutions for market, credit and operational risk, as well as collateral and capital management. Algorithmics is a member of the Fitch Group. http://www.algorithmics.com

Credit Value Adjustment (CVA) is traditionally defined as the difference between the risk-free portfolio value and true portfolio value of one or more trades. This accounts for the expected loss arising from a future counterparty default and can be formulated as: CVA = Discounted expected exposure x Default probability x Loss given default.

Integrated Market and Credit Risk offers banks the power to manage risk enterprise-wide, with industry-leading analytics to accurately measure market and credit risk across the trading and banking books. This solution delivers faster and more consistent valuations, as well as real-time support for high volume and profit-focused front office applications such as pre-deal limit checks and credit valuation adjustment. Leveraging over two decades of experience with some of the world’s largest financial institutions, Algorithmics’ proven solution can be cost-effectively integrated with a bank’s existing systems, supporting better decision-making across the front and middle office and up to senior management.

Fitch Group is the parent company of Fitch Ratings, a global ratings agency committed to providing the world's markets with independent, timely and prospective credit opinions. With 49 offices worldwide, Fitch Ratings’ global expertise spans across capital markets in over 150 countries. Fitch Ratings is headquartered in New York and London.

The Fitch Group also includes Fitch Solutions, a distribution channel for Fitch Ratings products and a provider of data, analytics and related services; and Algorithmics, the world's leading provider of enterprise risk solutions.

The Fitch Group is a majority-owned subsidiary of Fimalac, S.A., headquartered in Paris, France.

For additional information, please visit http://www.fitchratings.com, http://www.algorithmics.com, and http://www.fimalac.com.

© 2011 Algorithmics Software LLC. All rights reserved. ALGORITHMICS, Ai Logo, ALGORITHMICS & Ai Logo, ALGO, MARK-TO-FUTURE, RISKWATCH, KNOW YOUR RISK, ALGO RISK, ALGO MARKET, ALGO CREDIT, ALGO COLLATERAL, ALGO FIRST, ALGO ONE, ALGO FOUNDATION, ALGO FINANCIAL MODELER, ALGO OPVAR and TH!NK Logo are trademarks of Algorithmics Trademarks LLC.

# # #

Share article on social media or email:

View article via:

Pdf Print

Contact Author

Heather Smith
Algorithmics
+44 207 392 5820
Email >

Elizabeth Kyriacou
Algorithmics
+44 207 392 5813
Email >
Visit website