In-house system of the year: Royal Bank of Scotland

A 30-fold increase in its computing grid, enabling coverage of 90% of the bank's derivatives business - a two-year overhaul of the counterparty risk framework at Royal Bank of Scotland wins this year's in-house system award

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Zak Martin

Capital requirements for derivatives counterparty risk will jump this month, as Basel III’s new charge for credit valuation adjustment (CVA) takes effect in many jurisdictions – a punishing charge when modelled, but one that is far worse in its standardised form. So, getting regulatory approval for a model is a big deal and, when Royal Bank of Scotland (RBS) realised in 2011 that its existing counterparty exposure approach was not up to scratch, it prompted a huge overhaul, leading to a 30-fold

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

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