Potential future exposure models (PFE)
Roll up for the BoE’s counterparty mystery tour
Letter warns of cross-currency repo risks, but they didn’t feature in Archegos or LDI blow-ups
Basel closes in on IM offset for leverage ratio
US seen as obstacle to consensus; committee expected to allow netting of margin against PFE only
SA-CCR may need more fundamental fixes
Quants propose tweaks to improve Basel counterparty credit risk framework
US version of SA-CCR could hurt settled-to-market swaps
Capital requirements on a client’s hedged options portfolio could increase by 1,100%
Podcast: Kenyon and Berrahoui on the pitfalls of PFE
Quants propose replacement to existing credit risk measure
Does credit risk need an expected shortfall-style revamp?
Quants propose tail risk-sensitive measure for counterparty credit risk
Counterparty trading limits revisited: from PFE to PFL
The potential future loss is proposed as a replacement for PFE
Evaluating the credit exposure of interest rate derivatives under the real-world measure
This paper examines the credit exposure evaluation properties of interest rate derivatives to manage counterparty credit risk, working with the real-world probability.
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
In the paper, real-world and risk-neutral scenarios are combined for the valuation of the exposure values of Bermudan swaptions on real-world Monte Carlo paths.
US regulators told to expect VM status change
Fed, FDIC and OCC told daily settlement of swaps will cut required capital
Applied risk management series: Counterparty risk exposure metrics
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
CME fears futures clearing retreat
Leverage ratio could prompt FCMs to be more picky, warns CME's Sprague
Cutting edge introduction: The only way is backward
Quants find way to streamline future value calculations for exotic
Backward induction for future values
A new framework for derivatives pricing with valuation adjustments
Path-consistent wrong-way risk
A copula-based model for wrong way risk
Trends in risk management
Sponsored survey analysis: SunGard
Standard Chartered's New Risk Architecture
An enterprise-wide risk engine will better integrate risk measurement with business decisions.
Risk tech firms partner to develop forex trading product
Risk technology firms, Pennsylvania-based Financial Software Systems (FSS), and New York-based PFS Trader Tools, said today that they are working together to develop a Web-based foreign exchange trading service. The risk management tool, branded…
Linear, yet attractive, Contour
Banks’ Potential Future Exposure models are at the core of the advanced EAD (Exposure At Default) approach to capital requirements for credit risk considered in the New Basel Capital Accord. Juan Cárdenas, Emmanuel Fruchard and Jean-François Picron look…