Credit risk
Industry models not sufficiently developed to calculate CVA charge, says Basel Committee
Basel Committee sticks to its decision not to allow banks to use their own models to calculate the CVA capital charge under Basel III
Market analysts consider impact of resolution regimes on CDS market
Resolution regimes rule, OK?
New regulatory blitz threatens future of credit rating agencies
The SEC and EU have announced tough measures designed to limit the influence of credit ratings on the investment process. Credit magazine talks to the agencies about their efforts to restore their reputations, and asks investors about what role rating…
Rating the future: the investors’ perspective
Regulators have had their say; the agencies themselves have implemented changes to methodologies and processes; but how would investors fix the credit ratings business?
Real-time counterparty credit risk management in Monte Carlo
Real-time counterparty credit risk management in Monte Carlo
Credit ratings: the legal perspective
Securitisation lawyer Jonathan Walsh explains what regulatory and legal changes will mean for the rating agencies
Profile: Diana Higgins, Director Crediten
Turning points: Diana Higgins, Director, Crediten
Collateral: look, but don’t touch
Collateral: look, but don’t touch
New Zealand banks still prone to offshore wholesale funding risks
The asset quality and capitalisation of New Zealand banks remains strong but dependence on wholesale funding is still a risk, say credit rating agencies.
Quants continue to criticise counterparty risk measures
Adjusting the adjustments
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures
Greek budget cuts raise default concerns
Markets prepare for the worst as Athens unveils new tougher austerity measures; IMF managing director Dominique Strauss-Kahn says cuts are necessary
Taiwanese banks exposed to domestic property and China risks, says Fitch
Fitch Ratings believes the cost of funding for Taiwanese banks could jump nearly 200 basis points should Taiwan or China property prices fall sharply. The country's banks are also prone to any slowdown in global economic growth.
FSB concerned about counterparty and liquidity risk in ETF market
FSB warns of counterparty risk due to rapid growth of synthetic ETF market; also expresses concern about on-demand liquidity in stressed conditions, particularly linked with vertically integrated providers.
HKMA warns on US dollar funding risk from China corporate lending
Hong Kong branches of Chinese commercial banks are increasingly lending US dollars to state-backed enterprises. The surge in dollar demand from Chinese corporates comes as lending is squeezed onshore by Beijing's efforts to limit the credit growth of…
Isda AGM: dealers, CCPs debate risks of lowering bar to entry
Weaker clearing members could be overstretched by a crisis, dealers warn - but LCH.Clearnet and CME differ on the risk of wider access
Non-US sovereigns should collateralise swaps, say US bank regulators
Progress towards sovereign collateral posting has been slow. Now, US regulators are proposing to make it mandatory - for all non-US entities
HK Lehman minibond resolution may be approved despite bond-holder dissent
Despite objections submitted to the US bankruptcy court from the holders of Lehman Brothers minibonds, the latest resolution effort to reach settlement on the sale of credit-linked notes to retail investors in Hong Kong may still be approved, as the 75%…
Risk Europe: S&P slammed for linking Greece, Portugal downgrades to ESM
Eurozone bail-out vehicle doesn't hurt existing bondholders, EC official argues
Collateral management: Firms face up to regulatory challenge
Balancing the books
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Sovereign risk weights under threat
Weight gain