Cross-gamma losses estimated at more than $25m for each dealer
As defaults rise, firms step up sophistication of counterparty assessments
Finance ministry hopes two-way CSAs will cut costs and risks on hefty swaps flows
Time constraints can be binding for ‘heavy’ Monte Carlo calculations of risk analytics – value-at-risk, potential future exposure, credit valuation adjustment – in intraday risk monitoring, so fast approximations are sometimes preferred. Vladislav...
Banks warn of "massive" impact from EBA proposals, which would limit credit lines
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
Credit valuation adjustment for energy and commodity derivatives: part two
In the balance?
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
Deutsche on top
Aircraft, shipping and project finance all set to lose out as banks seek to constrain capital consumption, panellists warn
Risk awards 2012
Leading quants highlight ambiguity in Isda master agreement - but warn that resolving the issue could worsen systemic risk
Credit and credibility
The year of CVA
In defence of cross-product margining
Getting CVA up and running
Banco de España chose not to report Santander’s sovereign derivatives exposure to the EBA because it was 'not material'
The NTMA follows Portugal's debt office in adopting two-way collateralisation - but unlike Portugal it appears it will have to post cash