Inconsistent rules are damaging financial intermediation, says senior Japanese banker
Dealers push for a more risk-sensitive model, but regulators may opt to incorporate a new non-internal modelled approach into the existing hypothetical capital method
US clearing rules do not exempt SPVs, but industry is split on whether other exemptions - for unclearable swaps - would apply
Industry group will launch a best practice document confirming that negative interest rates apply under CSA
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
Europe goes its own way on CVA
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
Consultation on alternative to much-criticised current exposure method could start in June
CRD IV set to exempt trades with corporates, sovereigns and pension funds
Security in lending?
Post-financial crisis structured credit has been in hiding: but 2013 has seen the re-emergence of the collateralised loan obligation (CLO) market, with yield-hungry Asian players demonstrating a strong appetite for the paper
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may provide some fresh insight. Laurie Carver introduces this...
DVA for assets