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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