Gruppo Banca Carige is among the largest banks in Italy, with more than 1100 branches and 2 million customers. In addition to the parent company, Banca Carige, the group includes five other banks, two insurance companies, and an asset management company. Within Banca Carige, the Financial Administration team is responsible for valuation and risk analysis, including pricing the instruments and derivatives in the bank’s own portfolios and those of its clients.
A renewed focus on transparency in the financial services industry led this team to replace a proprietary solution for pricing instruments with a library, called MatFin, developed in-house using MATLAB®.
“Moving to MATLAB gave us the freedom to develop and improve our own algorithms and compare their results with industry benchmarks,” says Paolo Raviola, project manager, Banca Carige. “From our MATLAB code we compiled a .NET component that we integrated with our enterprise structured products platform, enabling us to automate processes and reduce manual steps.”