Hi all,
I’m actually working on a little project and for those already in the business (back office, middle office or front office), I was wondering how your team was setting up counterparty exposure limits for a specific fund.
Let’s say that I’ve 4 counterparties (Goldman, BAML, CIBC and BNP Paribas). I’ve a fund invested mostly in Governments bonds. What’s the best way to cap the maximum possible exposure to a specified counterparty ? What’s the best way to get a specific amount as a limit (example: maximum possible exposure for Goldman Sachs for this specific fund should be 1 millions).
Thanks in advance !
I’m actually working on a little project and for those already in the business (back office, middle office or front office), I was wondering how your team was setting up counterparty exposure limits for a specific fund.
Let’s say that I’ve 4 counterparties (Goldman, BAML, CIBC and BNP Paribas). I’ve a fund invested mostly in Governments bonds. What’s the best way to cap the maximum possible exposure to a specified counterparty ? What’s the best way to get a specific amount as a limit (example: maximum possible exposure for Goldman Sachs for this specific fund should be 1 millions).
Thanks in advance !
