In-house system of the year: Danske Bank

Risk Awards 2015: CVA in 10 seconds on a MacBook Pro – Danske can do it

Martin Dalskov Linderstrøm, Jens Peter Neergaard and Jesper Andreasen, Danske Bank

When the markets business at Danske Bank challenged its quants to give it a tool that would allow real-time pricing of derivatives counterparty risk, it might have seemed a pipe dream. Working out the credit valuation adjustment (CVA) for each new trade necessarily means considering its effect on an existing portfolio, quickly tying up human and computing resources.

But, after two years of work, the quants delivered in early 2014.

"There are banks out there using thousands of computers to genera

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