Counterparty Credit Risk Success
General Electric faces a myriad of counterparty credit risk: from over 15,000 bank accounts worldwide, to credit exposure from derivatives used to hedge interest rate and currency risk, to short-term investments in everything from third-party money market funds to reverse repurchase agreements. By developing tools to assess its counterparty risk daily, GE’s treasury risk management team helped the company and, in the process, won the 2009 AFP Pinnacle Award for risk management.
GE’s treasury risk management team now monitors the creditworthiness of counterparties on a global scale and provides warnings of at-risk parties. Its solution includes daily exposure reports that:
• Automatically highlight counterparty exposures that are over thresholds set by the risk team
• Evaluates secured/unsecured exposures compared to target levels
• Consolidates the liquidity profile of assets
• Highlights changes in exposures by product type/source
• Breaks out the maturity profile of exposures from derivatives.
GE’s treasury risk management will be honored for its effort at AFP’s Annual Conference, Oct. 4-7.
Read more about it in the next issue of Exchange.
Copyright © 2009 | Association for Financial Professionals, Inc. | All rights reserved.
Tags: counterparty credit risk, GE, General Electric, Pinnacle Award, risk management, treasury risk management team
