Credit risk
Credit rating agencies: what are the alternatives for energy markets?
Original headline:
Repeated stumbles by the credit rating agencies have led risk managers to explore new ways of assessing counterparties. Alexander Osipovich examines the alternatives
Original headline:
The European Parliament version of CRD IV exempts trades with non-financials from Basel III's CVA capital charge - and dealers are hoping it covers sovereigns as well as corporates
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Eurex Clearing plans to be the first OTC clearer to offer full segregation of collateral when it launches in March - demand has risen since MF Global collapse
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More Credit risk articles
Basel 2.5: US ratings workaround criticised
Original headline:
US regulators published a proposal in December that would enable domestic banks to implement market risk capital rules without relying on credit ratings. But bankers claim the rules are overly conservative and put them at a competitive disadvantage. Do...
Conversion of upfront CVA into running CVA
Original headline:
The credit value adjustment that crystallises counterparty risk in a derivatives price is generally thought of as an upfront payment, but could equally well be converted into a running premium in appropriate products. But the obvious ways to do this lead...
Japan still backs EFSF despite threat to AAA rating
Published online only
The expectation that Standard & Poor’s decision to downgrade France and Austria will have a knock-on impact on the EFSF will not deter further Japanese investment in its bonds, says Japanese official
The dollar dominance dispute
Published online only
Disputes over the valuation of collateralised derivatives trades have pushed the industry to develop a new standard credit support annex. A solution has been proposed – but some Asian banks have raised concerns about the dominant role given to the US...
European Insurers face downgrades amid continuing sovereign debt crisis...
Published online only
Generali subsidiaries and Groupama receive downgrades; Aviva placed under review
The CVA-CDS feedback loop
Original headline:
Dealers claim regulators have cooked up a pro-cyclical credit value adjustment (CVA) capital charge that encourages CVA desks to buy credit default swap protection as a hedge. This could push spreads wider, increasing the CVA capital charge and so prompting...
Quants call for Isda to clarify close-out values
Published online only
Leading quants highlight ambiguity in Isda master agreement - but warn that resolving the issue could worsen systemic risk
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