Case Study: Capgemini achieves Basel II compliance and scalable economic-capital, risk, and valuation modeling with MathWorks

Capgemini Helps Clients Achieve Basel II Compliance and Deliver Economic Capital, Risk, and Valuation Models

Capgemini, a global consulting, technology, and outsourcing firm, needed to help major European banks comply with Basel II and accurately calculate regulatory and economic capital across portfolios worth hundreds of billions of euros. The work required Monte Carlo simulations, copula and multivariate analyses, and clear visualizations for nontechnical stakeholders, so Capgemini turned to MathWorks and its MATLAB platform (with companion toolboxes) to build the necessary high-performance risk and valuation models.

Using MathWorks’ MATLAB along with Database Toolbox, Financial Toolbox, Statistics and Machine Learning Toolbox, and MATLAB Compiler, Capgemini implemented Monte Carlo simulations, copula modeling, data cleansing, visualization, and standalone executables for clients. The MathWorks-based solution delivered reusable, scalable code, established a competitive advantage (making Capgemini the leading Dutch consultancy for quantitative economic capital modeling), and produced measurable impact—most notably a buy‑and‑hold valuation that reduced one client’s impairment by tens of millions of euros.

Capgemini

Marco Folpmers

Principal Consultant