Industry: Banking

Brief: Development of a market risk scenario generator supporting the daily Value-at-risk calculation for the whole banking group. A novel Monte Carlo scenario generator for risk factor classes FX, interest rates, CDS, equity indices, and bond spreads. Heath-Jarrow-Morton yield curve dynamics. Default probability term structures of CDSs modeled via a dynamic hazard rate model parametrizing Poisson defaults.

Value Delivered: The system was successfully approved by the regulator to monitor the market risks of a 100B+ EUR banking group.