Adam Smith Awards Winner – Best Risk Management Solution
Dow Corning had $2bn plus in cash and investments and protecting this from counterparty default was a major challenge. However, their counterparty risk management approach had historically fallen short of industry standards. The management approach involved a considerable amount of manual monitoring, was primarily reactive vs proactive and was limited in scope. John Coon, Global Treasury Manager explains how the company mobilised its resources to build a Counterparty Risk Dashboard to become a fully automated one-stop-shop for treasury.
This webinar was held on Wednesday 20th January 2016.
How does lending relationship affect the amount of risk you will take with a counterparty? Eg do you have any large relationship banks who you do not place any funds with or do you make exceptions to the model? (09:13)
Is this dashboard designed in-house or by outside company, this is something I would like to use for my own role in Treasury. (15:41)
What is the benefit of linking the counterparty model to TMS? (18:42)
What TMS system/provider do you use? (20:12)
How do you treat subsidiaries that are not rated? Do you consider them as having the same credit risk of the parent bank? (20:30)
Do you ever override your model and place a lower credit limit on a particular banking counterparty? (22:55)
What are the greatest benefits of the dashboard? (24:00)
Since the Bloomberg Risk Model includes a variety of metrics in coming up with the score (CDS, share price, ratings...) why not just use this score? (25:14)
What are the costs involved (as well in terms of employees) for running this platform? (26:44)
Have these models been back-tested? Is it possible with so few data points? (27:32)