Benefits of risk bifurcation threatened by collateral conflicts
BBVA: Optimising counterparty risk capital with real-time simulation-based exposure and limits management
Spanish bank secured gold standard of credit exposure and xVA measurement using IBM algorithmic software
As defaults rise, firms step up sophistication of counterparty assessments
Standardised risk charge delivers few benefits, and plenty of trouble
Tight deadline and limited portfolio makes measurement difficult
Punitive standardised approach may replace modelling
Growing LEI issuance has improved reporting, but what comes next?
Wujiang Lou calculates CVA and FVA abiding by the law of one price
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
COO in interview cites equity-like evolution and regulation squeezing liquidity
Counterparty correlations are no substitute for due diligence, argues Kaminski
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility assumptions.
But concerns remain about effects on resolution and capital requirements
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into...
Sponsored feature: Numerix
Financial models fall down in energy markets, argues Kaminski
White paper: IBM Business Analytics
Wrong-way risk (WWR) behaves differently for exposures to systemically important counterparties because their default has the potential to move financial markets before the close-out. Michael Pykhtin and Alexander Sokol show how the traditional exposure...