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 is focused more on the centre of the distribution,...
The Basel approach is criticised as inconsistent, prompting a group of quants to develop an alternative
Committee may introduce new floors on internal model outputs, after a report on RWAs for credit risk in the banking book found wide variations in bank practices
New rules aim to promote the market but banks still prefer the WMP route
The UK regulator calms reclassification fears by exempting SPVs that issue debt securities from being classed as alternative investment funds
Rules would require banks to allocate all securitisation exposure by individual, underlying obligor
Before the European Central Bank takes on its new supervisory role, a planned asset-quality review should ensure it is not walking into trouble. That’s if the process is thorough, of course, and untainted by political pressure – sceptics say that...
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