Language EN | DE

Partners in Risk Management

Counterparty Credit Risk

Measuring and managing counterparty credit risk (CCR) and XVA are considered core components of the sound risk management of trading books.

Key Project Experience

  • In order for our client, a G-SIB, to gain regulatory approval to use advanced internal models to calculate their CCR, they required a model to efficiently calculate CCR for their most exotic derivatives. We enhanced an American Monte Carlo model to accurately handle exotic deals, across all asset classes. This involved building a calibration and testing framework, configuring the model to each trade type and testing performance in an automated process. We guided the model through the model validation stage, ultimately building a key component resulting in the bank winning regulatory approval.
  • Banks with active or exotic trading books often see frequent fluctuations in CCR. This can require credit officers to spend significant amounts of time trying to diagnose daily changes. We helped our client, a G-SIB, to build an automated process to systematically attribute changes to various factors. The process was fully integrated with their existing CCR system and covered the entire process from sourcing the data, to carrying out the analysis, and disseminating the results in a web portal. The system was designed to be used by hundreds of credit officers globally, thereby drastically reduce their daily workload.


C: Dilbagh Kalsi
D: +44 (0) 7703 788 016
E: dilbagh.kalsi@fintegral.com

Core Consulting Competencies

We Value Your Privacy

We use ‘cookies’ and related technologies to help identify you and your devices, to operate our site, enhance your experience and conduct advertising and analysis. Some of these cookies are optional and are only used when you’ve agreed to them. You can consent to all our optional cookies at once, or manage your own preferences through the “manage choices” link. You can read more about these uses in our Privacy Statement.

Privacy Preference Center

We Value Your Privacy Strictly Necessary Cookies Targeting Cookies

We Value Your Privacy

When you visit any website, it may store or retrieve information on your browser, mostly in the form of cookies. This information might be about you, your preferences or your device and is mostly used to make the site work as you expect it to. The information does not usually directly identify you, but it can give you a more personalized web experience. Because we respect your right to privacy, you can choose not to allow some types of cookies. Click on the different category headings to find out more and change our default settings. However, blocking some types of cookies may impact your experience of the site and the services we are able to offer.

Strictly Necessary Cookies

These Cookies are necessary for core features of this site to operate properly. Because they are needed for the site’s operation, they are always set to “Active”. You may disable these by changing your browser settings, but this may affect how the website functions.

Targeting Cookies

These Cookies are used by advertising companies to inform and serve personalised ads to your devices based on your interests. These Cookies also facilitate sharing information with social networks or recording your interactions with particular ads.