Counterparty risk
Eurex initial margin ebbed over Q2 as default fund swelled
Participant contributions to default fund up 55% quarter-on-quarter
Which EU banks hold the most loans subject to Covid relief?
UK lender Lloyds had 13% of its loan book under payment moratoria as of June 30
JSCC placed majority of its default funds with the BoJ in Q2
Loss-absorbing resources stashed with commercial banks fell over the three months to end-June
Counterparty risk product of the year: Moody’s Analytics
Asia Risk Technology Awards 2020
Tougher OTC trading conditions to persist, say European banks
Seventy-three per cent of respondents expect tight price and non-price terms through September
Dealers eye model change to cure CVA capital headache
With hopes of EU regulatory carve-out fading, some banks are taking matters into their own hands
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
Clearing banks show they’ve learned lessons of the past
CCP members were able to meet massive margin calls in March. But could they do it again?
EU banks expect further margin reprieve for equity options
Exemptions for intra-group and equity options from non-cleared margin rules expire by January 2021
Libor webinar series – Liability-driven investment fund managers and investors
Nobody knows what will happen to Libor at the end of 2021, but the market has to be ready for anything – including the benchmark’s demise. This continues to be the message from regulators, despite the havoc caused by the Covid-19 pandemic. The coming…
Intersecting technology with clear purpose – Uninterrupted collateral management and how to get there
This webinar explores how market participants can handle the increased volumes in margin calls and disputes through real-time inventory management
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
Citi’s counterparty credit risk charge up 38% in Q1
Probability of default of portfolio increases to 0.73% from 0.68%
CVA, market RWAs more than double at UBS in Q1
Overall risk-weighted assets increased 10% on end-2019
Foreign banks’ EM exposure could spiral as Covid-19 bites – BIS
Activation of credit lines and guarantees could cause exposures to leap 26%
Counterparty credit risk – Why data is only valuable in context
Paul Whitmore, global head of counterparty risk solutions at Fitch Solutions, explains how qualitative data can add colour and insight to quantitative metrics for assessing the creditworthiness of counterparty banks
A sensitivity analysis of the alpha factor
In this paper, we investigate the alpha factor’s sensitivity to key model parameters under stylized portfolio assumptions in order to better understand its complex characteristics. Our analysis is based on the numerical simulation of alpha sensitivities…
Credit risk – Building on a foundation of quality data
Credit risk analysts at emerging market banks not only need high-quality data, but also the necessary tools to manage it. Improving consistency and reducing the risk of errors in credit risk data create more time to concentrate on the core activity of…
Transforming trading, risk and operations
Capital markets technology firm, Murex, enjoyed outstanding success in the Risk Awards 2020. Amid fierce competition, the firm was named technology vendor of the year, and picked up a further five gongs in the Risk Markets Technology Awards
Equity, Treasury collateral builds up at US G-Sibs
Fair value of equity collateral rises 19% year-on-year
Smart derivative contracts: detaching transactions from counterparty credit risk
Introducing deterministic termination rules to eliminate counterparty risk in smart derivatives
Citi shed over $32bn of counterparty exposures in Q4
Risk-weighted assets for CCR exposures dropped -12%
Quantifying systemic risk using Bayesian networks
Creditworthiness of individual entities may offer an insight into systemic risk of financial markets
Clearing members in cash clash with Apac CCPs
Banks and clearing houses wrangle over who should pay for losses on invested collateral