In-house system of the year: Danske Bank

Risk Awards 2015: CVA in 10 seconds on a MacBook Pro – Danske can do it

Martin Dalskov Linderstrøm, Jens Peter Neergaard and Jesper Andreasen, Danske Bank

When the markets business at Danske Bank challenged its quants to give it a tool that would allow real-time pricing of derivatives counterparty risk, it might have seemed a pipe dream. Working o