Case Study: Intesa SanPaolo achieves real-time counterparty risk visibility and harmonized internal models with IBM Algo One (IBM)

Applying an internal models approach to real-time counterparty risk exposures

Intesa SanPaolo, the Italian banking group, needed to harmonize counterparty risk for OTC derivatives so traders could make faster, more accurate decisions instead of using conservative add-ons or waiting for risk-team outputs. To solve this, Intesa SanPaolo partnered with IBM and adopted the bank’s approved IBM Algo One platform to expose front-office users to the same internal models used by risk managers.

IBM implemented the IBM Algo One real-time credit engine and an intuitive what-if interface that delivers live metrics (current exposure, EPE, PFE) and uses incremental simulation with netting. The solution—now used by about 90% of trading desks—provides instant trade impact analysis, reduces credit-line utilization, harmonizes risk reporting, and strengthens Intesa SanPaolo’s compliance posture for CCR and upcoming FRTB requirements.

Intesa SanPaolo

Rita Gnutti

Head of Internal Model Market & Counterparty Risk