Credit risk
Asian banks in OTC derivatives reconciliation drive
Efforts by Isda and international banks to get Asian counterparties to use portfolio reconciliation services for OTC derivatives are starting to pay off
European insurers would need regulatory action to survive Greek default
Fitch Ratings stress test concludes that eight european insurers would require "further analysis" after sovereign risk fallout
Credit rating agencies: A question of trust
Question of trust
Solvency II poses bigger danger to economic stability than bank refinancing
Refinancing risk dwarfed by Solvency II’s impact on insurer appetite for corporate debt
Standard & Poor's Angel leaving company
Executive managing director Tony Angel is leaving Standard & Poor's after two years
Asia Risk 15: Credit derivatives perform vital role but at heavy cost
The emergence of credit risk mitigation techniques has enabled banks to continue lending while easing their concentration risks. But this has come at a heavy cost, as investors in many complex, leveraged synthetic structures discovered following the…
Asia Risk 15: Derivatives netting not fully in place in Asia
The standardisation and enforceability of documents represents a cornerstone of the over-the-counter derivatives market in Asia. But as the sector continues to grow, risk mitigation from close-out netting has yet to gain legal certainty in many …
The end for one-way CSAs
Sovereign derivatives users have been able to avoid posting collateral to their dealer counterparties in the past, but pending reforms to bank capital and funding rules are changing the equation. If sovereigns refuse to budge, they will have to accept…
Basel CVA changes criticised
The Basel Committee on Banking Supervision has adapted its proposals for a capital charge on counterparty risk following industry feedback, but banks were hoping supervisors would go further. By Mark Pengelly
ECB closes in on inferior collateral with new haircut scheme
European Central Bank’s new discount schedule increases haircuts levied on troublesome collateral, such as asset-backed securities; analysts expect move to discourage pledging of risky assets
Basel counterparty risk charge to be reworked
Several aspects of Basel counterparty risk charge up for revision, including calibration and index hedges
Cross-border collateral may alleviate dollar funding strains: Emeap
Executives’ Meeting of East Asia Pacific Central Banks says crisis revealed shortcomings in regional money markets; swaps deals, cross-border collateral could alleviate some problems
Portuguese debt office agrees to post collateral to its dealers
Agency becomes one of first developed-market sovereigns to succumb to dealer pressure as costs of one-way collateral postings grow
ICBC’s Wang warns on eurozone debt contagion and Chinese property fears
In a contribution to Asia Risk’s 15th anniversary edition, Wang Lili, executive director and senior executive vice-president of Industrial and Commercial Bank of China, cites the European sovereign debt crisis as a key risk management challenge for…
CFTC rules increase credit risk
Proposed rules to limit leverage on margin FX trading accounts at retail forex brokers will have the unintended consequence of increasing counterparty risk, according to Josh Levy, managing director at Tactical Asset Management.
Estonia upgraded on euro accession; Ireland knocked down on banks’ weakness
Fitch lifts Estonian credit rating two notches, citing benefits of eurozone membership and strong fiscal performance; Moody’s downgrades Ireland on poor growth projections, worries over bad bank
Quant Congress USA: Ban DVA, counterparty risk quant says
Banks should not book paper profits as their own debt quality worsens, the Risk conference heard yesterday
Quant Congress USA: UK and Netherlands least risky European debt
Relatively healthy private sector means UK and Netherlands least likely to default
Quant Congress USA: "Only models were reliable during crisis," says AQR CRO
Quants push back against criticism of models at Risk's Quant Congress USA event in New York
Moody’s warn of Spanish power sector downgrade
Rating agency warns that a surprise Spanish government review of wholesale electricity prices could lead to a downgrade of Spain's power companies
Quant Congress USA: 'High risk of mis-calibration' in Basel III
Tight timetable for Basel III, politicisation and new liquidity ratios criticised by CRO
Eurozone debt fears waning, agencies say
Rising bond prices and falling CDS volumes mean eurozone sovereign debt is past the worst
Eurozone banking sector 'a slow-motion train wreck', says economist
Much work needs to be done to salvage Europe's banking sector but the continent's leaders are proving unequal to the task, says Larry Brainard.
Questions raised about CCP collateral
Bank collateral managers raise concern about wrong-way risk in clearing house collateral