Collateral Valuation at an Investment Bank

What are the problems
the bank faced?

An investment bank is operating a derivatives trading business in the local South-American markets. The so-called credit support annexes that govern the collateral that can be exchanged have an impact on the valuation of the derivatives. It was unclear to the client how accurate their existing methodology was.

Our Solution

Using Chiron App via SaaS, the client performs a daily independent valuation of the derivatives portfolios. Highlights include:

  • Daily comparison reports between official PnL and the PnL computed via Chiron App, leading to more profitable trading
  • Automated warnings are generated in Chiron App when the portfolio valuation changes unexpectedly, leading to better operational resilience.
  • Using ML techniques for the prediction of the evolution of the PnL correction

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