Misys offered an advanced solution that could be integrated with our existing FusionCapital
Kondor platform easily and costeffectively.
”
Giacomo Burro
Head of Capital Markets
Banca Carige

Products
• Misys FusionCapital Kondor
“
Whereas other software vendors offered a ‘blackbox’ approach, Misys worked with us to build pricing functions based on mathematical models and calibration procedures.
”
Paolo Raviola
Project Manager
Banca Carige
About Banca Carige
Banca Carige Group is one of the seven leading banking groups in Italy, with more than 1,100 branches and two million customers. In addition to Banca Carige, the group includes four banks (Cassa di Risparmio di Savona, Cassa di Risparmio di
Carrara, Banca del Monte di Lucca, Banca Cesare Ponti), Carige Asset
Management, Carige Assicurazioni (non-life insurance) and Carige Vita Nuova
(life insurance).
The challenge
As the volumes and complexity in its derivatives trading operations rose, Banca
Carige realised that its previous approach of manually building a pricing model for each individual deal was becoming increasingly time-consuming and unviable.
The solution
Working closely with Misys, the bank integrated its existing Misys FusionCapital
Kondor solution with a bespoke C++ derivatives pricing library for pricing structured derivatives.
The result
The solution enables the bank to price the structured derivative contracts in its portfolio flexibly and transparently – without needing staff to spend time manually building sophisticated models.
www.gruppocarige.it
2 Misys Fusion Capital | Banca Carige

“
Having worked with Misys before, we also knew that we could rely on their capabilities and professionalism.
Giacomo Burro
Head of Capital Markets
Banca Carige
The challenge
After many years of growing its derivatives trading operations, Banca
Carige’s derivatives trading volumes had reached around $10 billion.
The variety of derivatives traded had also expanded rapidly, giving the bank a portfolio of around 2,700 different contracts across interest rates, equity baskets and FX options. This included
200 structured contracts requiring a variety of pricing models including
Brace-Gatarek-Musiela (LIBOR Market
Model), Hull-White, Black-Scholes
(including Basket Multi Factors) and
Garman-Kolhagen models.
In the past, staff at Banca Carige needed to manually build an individual pricing model for each new deal.
As the volumes and complexity in its derivatives trading operations rose, the bank realised that this approach was becoming increasingly timeconsuming, and would soon be commerciallly unviable.
To future-proof its derivatives trading business, Banca Carige began looking for a solution that could help it transparently price its structured derivatives contracts across different asset classes and pricing models – quickly and efficiently.
The solution
Paolo Raviola, Project Manager for
Banca Carige, explains, “We had been successfully using Misys FusionCapital
Kondor for a few years, so we wanted to find a solution that would integrate with that platform and provide the same level of accuracy as marketquoted prices.”
When Banca Carige began searching for a solution, it found that many pricing libraries offered limited choices of pricing models, constrained pay-offs or closed proprietary algorithms. They were also expensive in terms of software licensing and used external pricing sources, with several solutions demanding manual entry of derivatives contract information.
Misys proposed a different approach: creating a real market model for Banca
Carige’s derivatives’ pricing by jointly developing a new C++ derivatives pricing library with Banca Carige, linked to its existing FusionCapital Kondor infrastructure and its market data for internal pricing.
Giacomo Burro, Head of Capital
Markets, Banca Carige, comments, “For us, Misys was the natural choice. The alternatives proposed by other suppliers were expensive and lacked key modelling functionalities, whereas
Misys offered an advanced solution that could be integrated with our existing FusionCapital Kondor platform easily and cost-effectively. Having worked with Misys before, we also knew that we could rely on their excellent capabilities and professionalism.”
Advanced derivatives pricing library
Banca Carige implemented the custom-made C++ derivatives pricing library, enabling the bank to price almost all of the structured derivative contracts in its portfolio without having to rely on external solutions, and offering transparent and flexible pricing functions.
The pricing library was successfully implemented within ten months – remarkably fast for a project of this scale and scope.
Raviola says, “Whereas other software vendors offered a ‘black-box’ approach,
Misys worked with us to build pricing functions based on mathematical models and calibration procedures.”
FusionCapital Kondor and its tailored
C++ derivatives pricing library support a vast number of pricing models and pay-off designs, so the bank no longer has to build time-consuming and complex models each time it needs to price a single deal.
Eliminating the requirement for manual work has enabled the bank to make its derivatives trading operations more efficient, and will help reduce the need to hire additional staff as operations continue to grow.
Misys Fusion Capital | Banca Carige 3

“
Jointly checking our pricing functions in the structured products module of
FusionCapital Kondor against market-quoted prices has given us complete confidence in their accuracy and robustness.
”
Giacomo Burro
Head of Capital Markets
Banca Carige
Looking to the future
In the future, Banca Carige and Misys plan to extend the bespoke C++ derivatives pricing library to support multi-factor LIBOR market models and
Inflation derivatives to further streamline its operations and unlock additional time savings.
The collaboration between the two companies has been a huge success, and the Centre for Applied Research in
Finance (Bocconi University, Milan) is planning to publish their jointly developed numerical approaches.
Giacomo Burro concludes, “The partnership worked extremely well, with Misys building and testing the library’s functionality alongside Banca
Carige providing detailed market knowledge and mathematical modelling scenarios.
“Jointly checking our pricing functions in the structured products module of
FusionCapital Kondor against market-quoted prices has given us complete confidence in their accuracy and robustness.”
About Misys
Misys is at the forefront of the financial software industry, providing the broadest portfolio of banking, capital markets, investment management and risk solutions available on the market. With more than
2,000 customers in 120 countries our team of domain experts, combined with our partner eco-system, have an unparalleled ability to address industry requirements at both a global and local level. We connect systems, collect data and create intelligent information to drive smarter business decisions. To learn more about how our Fusion software portfolio can deliver a holistic view of your operations, and help you to solve your most complex challenges, please visit misys.com
and follow us @MisysFS on Twitter.
Misys and the Misys ‘globe’ mark are trade marks of the Misys group companies.
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