Detroit and its dealers have an agreement that could allow the city to exit its swaps at just 75% of fair value, but bond insurers want to see the deal killed off in court. Joe Rennison reports
This paper provides a framework for comparing linked and unlinked central counterparty (CCP) configurations in terms of total netting achieved by market participants and the total system default exposure...
The credit additional termination event (ATE) clause is a counterparty risk mitigant that allows banks to terminate and close out bilateral derivative contracts if the credit rating of the counterparty...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Counterparty exposure articles
In their previous article, Carlos Blanco and Michael Pierce introduced the concept of credit valuation adjustment (CVA). In this next instalment, they explore CVA allocation methods and discuss alternative structures using CVA to set limits, credit charges...
Stockholm-based TriOptima has designed a way to transfer unclearable risk into a central counterparty. All the company has to do now is convince the world’s regulators to change their rules. By Michael Watt
Credit value adjustment (CVA) is not just a capital burden – the complexity of the calculations involved is also pushing banks’ processing resources to the limit. With traders needing up-to-date CVA numbers in real time, the industry is frantically...
Federal Reserve proposals limiting counterparty risk could put RBS and the UK government in one pot – potentially forcing US banks to cut exposure to both
Credit ratings for sovereigns and dealers are on the slide – an extra incentive to use clearing houses – but only the biggest institutions have started clearing, and half of respondents to this year’s rankings say they are not expecting to do so...
Aircraft, shipping and project finance all set to lose out as banks seek to constrain capital consumption, panellists warn
Being asked to achieve more with fewer resources is a common gripe in any walk of life – but increasingly so for credit portfolio managers. The past 12 months saw them having to manage the shifting risk profiles associated with the eurozone debt crisis,...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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