The Client
Helaba, one of the leading German banks, offers financial services to companies, banks, institutional investors and the public sector, both within Germany and internationally. The bank also acts as central clearing institution and service provider for 40% of German savings banks.
The Challenge
Given current market practices around counterparty risk regulation, xVA management, funding and accounting, Helaba decided that the bank needed to enhance its counterparty risk infrastructure for their OTC derivatives business. To support this initiative the bank wanted to pair their existing risk and core trading infrastructure with a modern, enterprise-wide XVA solution.
Why Quantifi?
- A single XVA modelling framework for front office, accounting and risk control purposes
- Integrated tools that generate consistent analytics, incl. sensitivities, scenario analysis and xVA explain
- Comprehensive incremental xVA based pre-deal profitability analysis
- Performance and scalability with analytical robustness
- High performance, modern architecture for automated system integration
- Quality and simplicity of data management helped accelerate the speed of implementation
“During the due diligence process, Quantifi’s single solution for the calculation of xVA measures proved to be more sophisticated, flexible and scalable compared to other solutions we considered.”
Volker Wittemann, Head of Credit Products & Bonds, Risk Control, Helaba
The Results
With Quantifi, the risk function is able to capture all xVA measures, generate consistent analytics, including sensitivities, scenarios and daily xVA explain at trade-level. The Front Office benefits from being able to do incremental xVA and trade profitability analysis and price XVA for all components in basis points.
Download the complete case study to see how Quantifi was able to support the enhancement of Helaba’s counterparty risk infrastructure.
