Credit risk
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
DTCC acquisition of Avox to result in ‘wider range of ref data’
DTCC has acquired Avox in a move set to result in a broad reference data platform
Data not judgement required for Nordic banks' Basel approach
Nordic banks want to use the Basel framework’s advanced approach to credit risk capital, but local regulators are insistent that data – rather than judgement – has to be the basis for the calculations. Banks don’t have enough instances of default in…
Questioning collateral
European financial markets have been turned upside down by the sovereign debt crisis, with eurozone government bonds no longer regarded as completely risk-free. As a result, dealers are more wary of the correlation inherent in collateral denominated in…
Moodys: Japan SME CDO ratings to show stable to positive trends
Moody's report says large increase in Japan SME defaults unlikely as economy recovers
IASB positive about progress on new loan loss standard as consultation ends
The findings of a group of credit risk experts should help IASB staff find a way to make its proposals operational, board member John Smith tells Risk
Chinese banks pass extreme loan default stress test
Asian banks generally are well capitalised and look set to ride through the eurozone debt crisis with few problems, says Moody's
Concerns grow on correlation of derivatives collateral
Sovereign debt crisis raises fears about correlation of derivative collateral denominated in domestic currencies
Sovereign debt and CDSs: a collection of articles from Risk.net
The world is watching nervously as sovereign debt is rocked by fiscal and economic crises in the eurozone.
BP oil spill “frightening reminder” of tail risk, say analysts
As oil continues to spill into the Gulf of Mexico, analysts have warned there is little investors can do to hedge against the risk of disasters on the scale of the Deepwater Horizon incident.
Eurozone has two years to agree fiscal union, says DB Advisors
The viability of the Eurozone project continues to weigh on fixed income market, says chief investment officer of DB Advisors.
The risks of tailoring credit default swaps
Credit portfolio managers could tailor credit default swap hedges as financial guarantees to avoid accounting mismatches on their balance sheet. However, the technique exposes credit hedgers to increased costs and basis risk, argues Dirk Schubert
Investors concerned over German banks' exposure to southern Europe
Investors and economists have identified German banks’ exposure to Europe’s indebted peripheral sovereigns as a potential risk to state finances.
Contagion fears drive volatility
The takeover of a Spanish savings bank last month and rumours of funding difficulties at the country's financial institutions spook investors