Capco Helps Leading German Bank to Meet Regulatory Deadline

Capco leads time-sensitive implementation of Historical Simulation Value at Risk (VaR).

Following a recent merger, a leading German bank had chosen the Historical Simulation calculation of VaR as its preferred method of monitoring market risk for trade positions maintained through its front-office systems.

With a regulatory approval deadline looming, the client engaged Capco to overcome several issues. In addition to the initial requirements needed to implement Historical Simulation, a supplementary set of requirements was defined in order to comply with regulatory supervision. Capco devised a plan to address front-office IT systems’ lack of functionality and capacity to support the necessary processes and calculations.

Within a very short space of time, our work enabled the bank to progress from definition of business requirements to a structured project plan. This included some 4,000 man-days of development work to manage the timely deployment of effective front-office systems.


  • Meeting the regulatory deadline resulted in substantial savings in the cost of capital