Case Study: National Bank of Greece achieves enhanced risk analytics and CVA validation with FINCAD

National Bank of Greece Uses FINCAD for Risk Analytics and CVA

The National Bank of Greece has used FINCAD software since 2001 to value instruments and run risk analytics across rates, equities and FX as its derivatives portfolios expanded. Faced with stricter Basel II–driven requirements, the bank needed broader analytics—stressed VaR scenarios, trade- and portfolio-level exposure measurement, interest rate sensitivities (DV01), option greeks and enhanced credit value adjustment (CVA) benchmarking across counterparties.

To meet those needs the bank selected FINCAD’s advanced analytics platform to augment and independently validate its primary risk system. FINCAD’s solution (including CDS bootstrapping for implied default probabilities and support for complex products such as amortizing cross‑currency swaps) enabled the team to benchmark pricing, calculate CVA inputs, run stressed VaR and sensitivity analyses, and strengthen regulatory compliance—with ongoing implementation and support from FINCAD’s client services.

National Bank of Greece

Nick Albanis

Director of the Market and Operational Risk Management