Credit Risk

Counterparty exposure monitoring, optimal deposit allocation and xVA cost reduction on derivatives.

Counterparty Risk Methodology

How do we measure and monitor potential future exposure across our derivatives portfolio?

Counterparty Risk Protection

What structures best protect against counterparty default on long-dated derivatives?

Optimal Deposit Composition

How should we allocate cash deposits across banks to minimise credit concentration risk?

Prehedging Credit Risk

How can we reduce xVA charges by prehedging credit exposure before new derivatives are executed?

xVA Optimisation

How do we minimise the combined impact of CVA, DVA and FVA on our derivatives portfolio?