International Bank

The Situation

A large international bank required an assessment of the industry's credit risk management practices in order to update their current risk management methodology, policies, procedures and systems.

NERA's Role

NERA's risk experts conducted a global industry benchmark that studied the application of credit risk management to hedge fund counterparties by the client's major commercial and investment banking competitors in order to identify industry best practices and areas to improve within the bank's procedures. This project covered resource commitments to credit risk management, 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

A report and presentation containing the industry's best practices and a set of recommendations for improvement was provided to senior management.