Rocked by counterparty risk

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Counterparty risk was not always a phenomenon commonly discussed throughout the derivatives market. Before the bankruptcy of Lehman Brothers in September, it was regarded by some as the preserve of back-office boffins and as something entirely separate from the nitty-gritty of the trading floor. But since then, it has swiftly become a hot topic for market participants, creating an elephantine amount of work for trading desks.

"Counterparty risk has gone from something that was lower down the

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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