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
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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