#CounterpartyRisk #Risk #Collateral #Ibor #Payoff #Pricing #JTD #IssuerRisk #PFE #LGD #RFR #Simm

Background & challenges

The Counterparty Risk Management team at Natixis was looking for a senior consultant to take charge of several in-house and regulatory projects, including :

  1. Monitor collateral exchanged as part of financing transactions
  2. Developing counterparty risk indicators as part of the IBOR transition
  3. Support the launch and management of new products and payoffs
  4. As part of the FRTB changes, introduce a new indicator for calculating issuer risk.

The CRM team is part of the Natixis Risk Department and works closely with the credit and market risk teams.

Solution provided


  1. La Base Collat
    1. Development of a POC for
      1. Recover REPO/REVERSE REPO operations stock
      2. Enrich collateral data, monitor quality, distribution, etc.
      3. Calculate aggregate indicators such as holding ratio, average haircut, etc.
      4. Stressing collateral using SIMM methodology
      5. Controlling posttrade haircut levels
      6. Managing tripartite operations
      7. Etc
    2. Support for an IT PROX team in industrializing the POC into an official application
    3. For use in a variety of practical pre- and post-trade situations
    4. Presentation to quarterly committee
    5. Hedging of bond and equity collateral
  1. IBOR Transition
    1. Replication of new RFR rate calculations
    2. Integration into counterparty risk indicator calculators
    3. Market event monitoring (reference rate switch by currency)
    4. Collaboration with market and credit risk + quantitative teams
  1. NPNA (New Product & New Activity)
    1. Point of contact for counterparty risk assessment when FO requests new payoffs
    2. Study of payoffs/montages/products and issue an opinion on counterparty risk monitoring
    3. Coordinating opinions with market and credit risk teams
  1. Issuer risk
    1. Study of a new indicator for monitoring issuer risk: Jump To Default
    2. Replication of values for different products/default scenarios/LGDs
    3. Support for IT and business teams
    4. Implementation of the indicator in the calculation of counterparty risk



  1. Key success factors :
    1. Putting IT skills to work, enhancing business knowledge
    2. Cross-functional communication (business/BA/Dev/FO)
    3. Frequent presentations of progress: helped validate project direction
  1. Difficulties encountered :
    1. Increased skills in business and quantitative knowledge
    2. Lack of technical freedom, slow and restricted processes, database, etc.
    3. Project management system without agility

Customer benefits:

Delivery and regular monitoring of various projects in progress.

Quanteam expertise makes the difference

  • Highly cross-functional profile with both business and IT skills
  • Relations between business and IT teams
  • 12 years' experience on a variety of assignments, offering a wide range of skills

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