LPA Office

»Derivatives harbour counterparty risks that have a bearing on both regulatory capital and risk costs – as a result, every transaction has its own customer-specific price.«

Daniel Herzbach, Partner LPA

Counterparty Risks

LPA Risk & Quant Consulting helps you to quantify risks precisely so that you can manage and price them properly. We also provide you with support when implementing regulatory and procedural requirements in both risk management and the front office.

Our approach to managing your counterparty risks

Actively manage counterparty risks

Managing credit risks lies at the heart of the banking business. With derivatives, there is also a risk of the counterparty failing to meet its contractual obligations. Another challenge is that the exposure is uncertain ex-ante and can fluctuate dramatically over the term. That is why counterparty risks – even in derivatives business – need to be adequately measured and consciously managed.

Our focus areas for the management of counterparty risks:

  • Regulatory capital, in particular SA-CCR (standardised approach for measuring counterparty credit risk exposures)
  • Limitation and corresponding processes
  • Risk mitigation, e.g. clearing and bilateral collateralisation (EMIR)
  • Pricing (xVA, CVA, KVA), management and hedging of risks and of capital (exposure management)

How we can support your projects:

  • Assessment of the impact of regulatory changes, such as SA-CCR
  • Effective, compliant implementation of regulatory requirements in systems and processes (CRR, MaRisk, etc.)
  • Benchmarking
  • Selection and implementation of systems to quantify and limit counterparty risks
  • Optimisation of limitation processes and systems, e.g. in terms of the challenges of electronic trading
  • Validation of models and methods
  • Optimisation of the management of your counterparty risks and implementation of risk mitigation techniques (such as clearing and bilateral collateralisation)
  • Support for the creation of competence centres (e.g. xVA Desk) as well as corresponding models and infrastructures
  • Tools for simulating the progress of exposures (e.g. PFE)
  • Optimisation of incentives for your derivatives sales
  • Development of exposure-optimised product solutions for customer operations

LPA-Solutions for
Counterparty Risks

Would you like to know more?

We will be happy to advise you.

Case Studies for
Counterparty Risks

Here you can find exemplary project solutions where our consulting and software solutions led to business success.

Christian Behm
Christian Behm
Your partner for
Risk & Quant Consulting

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Christian Behm
Christian Behm
Your partner for
Risk & Quant Consulting