Germany's Commerzbank is implementing Credit Analytics, a component of SunGard Trading and Risk Systems' credit risk system Crediant, to manage exposures across its investment banking division.
The standalone system will be used to calculate and aggregate risk exposures across a range of asset classes for all derivatives portfolios.
The system will also help Commerzbank meet German regulatory requirements, such as the MAH and MAK standards which stipulate that banks not only assess credit risk across a wide array of portfolios, but also produce credit risk simulations in line with each level of trading.
Markus Rumpel, senior vice president and head of investment banking credit, Commerzbank, says: "Because Commerzbank's trading activities are very sophisticated, we needed a solution that could measure portfolio effects on potential exposures across many different asset classes in real time."
Credit Analytics has two modes of operation - an implementation of a Monte Carlo engine and MC2, a proprietary analytic approximation for portfolio exposure variation. SunGard says additional modules to extend the techniques used to cover credit loss and capital calculations are currently in development.