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
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