As a part of Derivatives & Risk IT organization, we are responsible for the development and maintenance of the system used for Counterparty Credit Risk modelling within Danske Bank. The system ensures that the Counterparty Credit Risk – meaning risk of losses caused by counterparties defaulting – is understood, managed and checked against client limits.
To determine the Counterparty Credit Risk we have an internal risk model measuring and reporting the risk. The model generates market future scenarios based on historical data. It consists of a number of parts:
- Potential Future Exposure (PFE) – determines the maximum expected credit exposure over a specified period at multiple confidence levels.
- Effective Expected Positive Exposure (eEPE) – determines the weighted average over time of the effective expected exposure over the next year.
- Stress test – determines the current exposure to predetermined risk factors.
Currently, we are a team of four developers working agile in DevOps roles in close collaboration with our business. Our responsibility is to work with business to enhance the system with new functionality to comply with regulation and improve the business efficiency.
