More data urged for effective counterparty credit risk management
Disclosure of client positions may not be commercially realistic, expert warns
Limited data has left banks struggling to properly model counterparty credit risk, with experts warning it may be difficult to meet supervisory objectives, given hedge funds’ reluctance to disclose sensitive trading information.
Matthias Arnsdorf, global head of counterparty credit risk quantitative research at JP Morgan, said there was “a limit to how much information you can get” from large hedge fund clients.
Arnsdorf was speaking on a Risk.net webinar on counterparty credit risk management on
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Risk management
US Fed reveals its five use cases for generative AI
Internal sandbox used to assess viability and risks; coding and content generation on the agenda
House of cards? The $3 trillion (non-systemic) real estate risk
Regional banks share the bulk of US commercial real estate exposure, but the sector’s downturn doesn’t faze them
US election a ‘classic inflection point’ – Rory Stewart
Risk Live: Podcaster and former politician talks geopolitical risk and UK politics in keynote speech
FRTB data-quality issues persist amid shifting start dates
Even the standardised approach poses tricky market and reference data challenges
FCM-style client clearing comes to Europe
Eurex and LCH among CCPs ready to adopt new agency model aimed at easing bank capital
AI hack threat forcing banks to review cyber controls
Risk Live: AI lowers barriers to entry for phishing, say firms; more common controls needed
Op risk managers say models will survive phase-out of AMA
Risk Live: Supervisory focus expected to shift to Pillar 2 capital, and ILM may make a comeback in Europe
Deutsche Bank’s seven lead use cases for GenAI
Risk Live: Innovation head sees “multi-multi-million benefit” in AI documentation and email tools
Most read
- Why FRTB models are on the edge of extinction
- US banks seek to open vendors’ black box on green data
- Banks look to offload ‘orphan’ hedge risk