Unfunded loans and exposures to suppliers worry credit risk managers
Debt subordination behind spread widening from January; CVA desks may need to adjust hedge ratios
Benefits of initial margin also overstated, new research finds
Guidelines would cut the large exposure due diligence threshold to 2%, versus the 5% Basel standard
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Some banks are reserving capital against political risks, such as Brexit
Ditching own models for CVA risk is too binary and eliminates possibility of further dialogue
Switching to the standardised approach for credit modelling could have an impact on their legacy books
Fed stress tests push US banks towards charging CVA for cleared derivatives
Basel Committee decision removes potential source of competitive advantage for large dealers
This paper analyses whether the double default treatment under Basel II is appropriate to capture the asymmetric relationship between an obligor and its guarantor.
Concerns about systemic risk unjustified, say asset managers
Benefits of risk bifurcation threatened by collateral conflicts
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.