Counterparty risk
In defence of cross-product margining
Clients are currently able to agree with their clearing members to receive portfolio benefits on initial margin across cleared and uncleared positions. Proposed new rules would prevent such arrangements...
The credit value adjustment that crystallises counterparty risk in a derivatives price is generally thought of as an upfront payment, but could equally well be converted into a running premium in appropriate...
Hedges of derivatives counterparty credit exposure – when based on credit default swap spreads – are unreliable and may lull banks into ignoring tail risks, argues David Rowe
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Counterparty risk articles
Basel III charge could spur interest in CCDS
Development of CCDS could be pushed ahead by Basel III CVA charge, suggest market participants
Inter-affiliate trades face threat from clearing, execution, margin...
Inter-affiliate trades under US rules may be subject to the same clearing, execution and uncleared margin requirements as other derivatives – making them expensive, or even impossible. Dealers are also grappling with how the rules will dovetail with...
Sovereign volatility puts Basel III CVA charge in spotlight
Basel III feedback loop between CDS spreads and CVA capital requirements worries dealers, following month of huge sovereign spread moves
Lamb discusses CME Clearing Europe's goals
Andrew Lamb, chief executive officer at CME Clearing Europe, talks to Jessica Meek about the new clearing house's goals and its operational risk structure in the face of new legislation
Dealers push for further CVA amendments under Basel III
The Basel Committee modified its method for calculating the capital charge for credit value adjustment at the end of last year, following widespread criticisms from the industry. But quants continue to campaign for revisions that will allow them to take...
Industry models not sufficiently developed to calculate CVA charge...
Basel Committee sticks to its decision not to allow banks to use their own models to calculate the CVA capital charge under Basel III
Dealers fight back amid ETF regulatory scrutiny
Three separate reports from global regulators have warned about the build-up of systemic risk in the exchange-traded funds market, but providers claim supervisors have misunderstood the nature of the market. By Peter Madigan
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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