Credit risk
Tri-party repo taskforce to disband without delivering key reform
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The New York Fed's concerns about intra-day credit should be tackled by JP Morgan, BNY Mellon and DTCC, an industry taskforce concludes
Original headline:
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...
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Rather than rushing to increase regulation and potentially creating compliance costs and regulatory risks, authorities should be getting involved at the ground level to improve supervision, says Lars...
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Risk software survey 2011
Original headline:
Banks are gearing up to meet strict new Basel III rules on counterparty credit risk, including a new charge for credit value adjustment, as well as the Basel 2.5 package of market risk capital amendments. At the same time, firms are thinking ahead to...
CDSs: lubricant or landmine?
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Credit default swaps have allowed banks and investors to improve the management of their credit risk, but they may represent a lurking source of contagion in a crisis, argues David Rowe
Close-out convention tensions
Original headline:
There is an ambiguity in the market about the convention for valuing a derivative’s close-out value to be settled at default – in particular whether or not to include adjustments for the credit risk of the surviving party. Damiano Brigo and Massimo...
Risk and compliance hiring in the Middle East is strengthening, say...
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Regulatory pressure and recognition of the importance of risk and compliance at firms is driving recruitment of executives from around the world into the Middle East
The risk-free conundrum
Original headline:
The eurozone debt crisis raises a fundamental question about the risk-free status of sovereign debt in Solvency II. The events of recent months have shown that some government bonds are anything but risk free. Yet Solvency II’s standard formula maintains...
Getting CVA up and running
Original headline:
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 products. But the obvious ways to do this lead...
Eurozone debt crisis: facing up to the risks of political uncertainty
Original headline:
The eurozone debt crisis requires a political solution, but markets are losing faith in politicians’ ability to provide it. By Alex Monro
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