The client, a major banking group specialised in the provision of online banking and trading services, was in the process of launching new derivative products for its retail clients and required assistance with calculating the capital requirements for counterparty credit risk under the new standardised approach. This project was a continuation of similar work which Avantage Reply performed prior for this client, regarding the mark-to-market approach.
With limited time until the new CRR2 would come into force, the bank wanted to understand the exact steps and processes involved in calculating the following:
The main challenges were two-fold:
The team had delivered the following: