Numerix, the leading provider of cross-asset analytics for derivatives valuations and risk management today announces the successful implementation of its Numerix Oneview Risk solution at the first Thai bank with the highest market capitalization, Siam Commercial Bank (SCB).
SCB sought to integrate Credit Valuation Adjustment (CVA) into their risk management practices. Numerix offered a fast implementation and the advantage of an accurate market-tested solution for XVA-integrated pricing.
“Chosen for its accurate, real-time counterparty credit risk valuations, Numerix Oneview Risk leverages the industry-leading CrossAsset analytics to deliver a highly flexible, transparent solution for CVA. As SCB seeks to broaden its overseas footprint, and continues to grow its business in other locations throughout Asia, we’re happy to support their risk management program with advanced CVA analytics,” said Erdem Ozgul, Managing Director of Numerix South Asia.
SCB aims to use the Numerix Oneview Risk system to better understand its credit exposure, optimize trading outcomes and isolate the hedgeable component of the counterparty credit exposure. Numerix, leveraging from its thought leadership and expertise from other markets, worked in close collaboration with SCB to implement a flexible solution integrated into SCB data and decision systems.
“Always looking ahead, it’s a top priority of SCB to align with global risk practices as much as possible. Though CVA is not the norm in our local market, it enables us to have competitive prices and ensure risk-return is justified. As our risk management department works in close collaboration with front office, a sound risk management practice underpinned by consistent analytics helps to ensure that the decision-making process is transparent all the way through,” said Anucha Laokwansatit, Chief Risk Officer at SCB.
Numerix Oneview Risk solution allows SCB to obtain pre-trade risk-adjusted prices and calculate real-time incremental XVA. This enables SCB to quantify the contribution of new trades to counterparty risk enabling the bank to optimize counterparty choices, maximize profitability, and improve risk allocation.
“We are fully committed to working closely with SCB on their path to transformation where Numerix analytics and risk management platform would support SCB in its daily business of front office trading and middle office risk in a unified way,” Steven O’Hanlon, CEO of Numerix concludes.