Sberbank implements risk management system with Numerix
Automatic for the people
Russia’s largest banking group Sberbank has completed the implementation of its bank-wide technology programme focusing on automating its financial market risk management system.
As part of the multi-year project, Sberbank built a technology platform which included IT systems and modules allowing the management of various types of risks, namely credit and market risks.
The platform was created with the use of distributed computing technologies like GridGain, and non-relational databases, such as MongoDB and Cassandra.
As part of the project Sberbank uses Numerix analytics as a consolidated XVA (X-value adjustment) solution across the bank. Numerix analytics and Numerix CVA (credit valuation adjustment) are used to “calculate, analyse and limit exposures exotic for complex deals” as well as XVA management for front office needs and pre-trade calculations, such as incremental CVA and FVA (funding value adjustment).
Dzhangir Dzhangirov, chief risk officer, corporate and investment banking, Sberbank, says Numerix is a “recognised leader in risk technology, especially for CVA and cross-asset analytics” and the firm “stepped in to work with us to produce and distribute our counterparty credit risk calculations”.
Love me tender
Last year, Sberbank concluded its tender to find software and processing systems developers to revamp its retail and corporate banking tech.
The entire venture is scheduled for completion in December 2018. Total budget is RUB 757.8 million ($12.1 million).
11 companies bid for the project. Banking Technology understands a significant portion of these were disqualified.
