With the implementation of Solvency II now almost certainly delayed for at least two years, UK annuity providers are beginning to reassess their credit asset allocation strategies, as they look to optimise...
Economic growth has leapt ahead of Indonesian banks’ ability to assess the credit risk they are being exposed to – but with the central bank finally implementing Basel II is there a regulatory solution...
Industry group will launch a best practice document confirming that negative interest rates apply under CSA
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Credit risk articles
In Germany, every bank wants to lend to the Mittelstand, but demand for credit is modest. As a result, interest rates on loans are falling, and some see a danger of bad lending practices making a comeback. Michael Watt reports
New capital requirements are making it more difficult for banks to trade with counterparties that are not covered by a netting opinion. That is spurring attempts to expand coverage, but can leave banks and lawyers on uncertain ground. By Lukas Becker...
European legislators have opted to exempt certain derivatives trades from the CVA capital charge under Basel III. But this decision puts Europe at odds with other countries that have implemented the Basel framework in its entirety. Tom Newton reports...
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach focuses more on the centre of the distribution. This...
The move by European authorities to exempt European banks from holding CVA capital should be matched by regulators in Asia, according to senior bankers in the region
The credit additional termination event (ATE) clause is a counterparty risk mitigant that allows banks to terminate and close out bilateral derivative contracts if the credit rating of the counterparty falls below the trigger level. Since credit default...
This paper examines determinants of creditor recoveries from defaulted debt instruments. First, we argue that to properly measure a debt instrument's relative position in a firm's debt structure, debt pari passu to the instrument must be accounted for....
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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