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Benchmarking Credit Risk Management Practices
The Situation
An international bank commissioned a global industry benchmarking project on the application of credit risk management to hedge fund counterparties by major commercial and investment banking competitors.
NERA's Role
NERA reviewed resource commitments to credit risk management, the efficiency of different systems, and management reporting arrangements. The project assessed potential future exposure methods with inputs such as confidence limits, stress testing, data series, portfolio vs. sum of trades, and dynamic vs. static calculations.
The Result
NERA helped the bank identify industry best practices and areas to improve within its own procedures.