Rabobank has installed SunGard Trading and Risk Systems' credit risk management software, Credient MC2.
Rabobank will use Credient MC2 to measure its global counterparty credit exposures against set limits, for real-time decision-making and credit risk control. The bank will also use the numbers in other credit-like calculations such as economic capital and provisioning, for strategic management and planning.
The tool will be run by Rabobank's capital market and treasury credit function, and used by traders globally.
Credient MC2 is a patented methodology that provides accurate approximation to Monte Carlo simulations, an integral component of credit risk measurement, to help firms determine credit risk exposures.
Tim Sharkey, head of credit exposure risk management, capital markets and treasury credit, Rabobank, says: "Credient MC2 will give us the ability to model the bank's global counterparty exposure very quickly and with significantly improved accuracy, together with a deal checking facility in real-time. In addition, the provision of a fast and accurate Monte Carlo simulation model will help us to fine-tune the results."
SunGard says Credient MC2 allows traders and risk managers to have complex, accurate credit exposure analytics and fast response times. Clients can alsocheck the impact of a new deal against several counterparties to see which gives the most offsetting benefit in a credit context.