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

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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