Company: Global Tier One Bank
QuIC Credit Risk Solution™ reduces trade exposure by 20% and improves trading speed and responsiveness

The Client
A world-leading financial services company headquartered in Europe, with a global presence in investment banking, private banking and asset management.

The Challenge
The client’s trading instruments were increasing in complexity and traders required greater computational power to analyze the risk structures and comply with regulations. The bank’s existing risk analytics infrastructure was unable to meet these increasing demands, and was thus limiting their potential for growth. The client required a faster, more flexible infrastructure to enable their traders to develop and evaluate individual trades, and deliver them to market quickly.

Naturally, the bank’s RFP for a new risk management analytics solution attracted the interest of the risk management industry’s largest and most established vendors.  At this time, in 2003, QuIC’s solution was moving from beta to live release, and QuIC responded to the RFP.

The Solution
When the client examined the competitive proposals, QuIC’s claims for performance and value raised eyebrows. Says Nigel Cairns, President and CEO of QuIC. “We were promising increases in computational speed that far exceeded the competition, and frankly, they felt that our claims were extravagant. They requested that all the finalists run a test portfolio involving tens of thousands of instruments across a wide range of asset classes and time steps. When the results were compared, the QuIC Credit Risk Solution™ was ten times faster than the competition, produced full revaluation vs. approximation and did so with hardware valued at only $12,000 (USD). With proof of our solution’s superiority, they awarded QuIC the contract.”

5.1 trillion calculations in 80 minutes
The client’s test was a calculation of global Potential Future Exposure (PFE) to support credit trading limits. Credit risk was measured for 100,000 transactions by running 1000 simulations at 1825 time steps across 2000 counterparties and 14,000 netting nodes on each transaction—a total of 5.1 trillion calculations. The QuIC Credit Risk Solution ran the full test suite in the astonishing time of 80 minutes.

Billions of dollars saved
QuIC began global implementation of the solution in September of 2004. Acceptance testing began within four months, and three months after that (March 2005), the system went live in all of the clients’ trading offices in Europe, the US, Hong Kong and Japan. The project was completed on time and on budget.

With the QuIC Credit Risk Solution, the modeling tools and calculation power are now directly in the hands of the risk control department, allowing risk analysis calculations to be performed on demand, in real time. The users now routinely perform calculations five times the size of what was performed during initial testing. Credit exposures have been reduced by between 2 - 4 billion across the trading portfolio, leading to capital savings of tens of million dollars.

The QuIC Credit Risk Solution™ performs fast, flexible real-time pricing, risk management and financial analysis, and provides powerful, customizable access to the analysis of complex credit instruments.  The calculation speed of the QuIC Engine™ ensures rapid response times for users and organisations alike.