Case Study: BBVA achieves real-time counterparty risk capital optimization with IBM Algorithmics

Optimizing counterparty risk capital with real-time simulation-based exposure and limits management

BBVA, a multinational banking group, wanted to empower its traders with accurate, real-time insight into counterparty credit risk (CCR) to make better pre-trade decisions. Its existing sophisticated models were only run in a daily batch process, forcing traders to rely on simpler, less accurate methods or forgo pre-deal checking in some regions. To address this challenge, BBVA sought a solution with IBM that could perform real-time, simulation-based exposure calculations.

Working with IBM, BBVA implemented a new solution leveraging the IBM Algorithmics Integrated Market and Credit Risk platform. This provided traders with a real-time, pre-trade limit checking workflow using the same gold-standard Monte Carlo simulation methodology as the batch process. The solution helped BBVA avoid limit breaches before trades occur, ensured data consistency, and provided valuable analytical insights. As a result, traders can now make smarter, risk-aware decisions with confidence that exposure is within the bank's risk appetite.

BBVA

Óscar Gil Flores

Executive Director, Quant and Process Support