Banks have done too little, for too long on counterparty data

Regulators recently published the findings of a study of counterparty risk data at the world’s largest banks – it makes for depressing reading, says David Rowe, and is symptomatic of deeper problems plaguing the field of enterprise risk management.


An achievement in which I take some pride was designing and managing the implementation of the first simulation-based counterparty exposure system at the old Bank of America in San Francisco. Last December was the 20th anniversary of its launch in the bank’s London trading room.

While this first implementation was on a regional basis, it later became global, supported by a worldwide trade data warehouse and a simulation system allowing global exposure profiles to be calculated on a daily basis

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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