Credit risk
Exposure under systemic impact
Wrong-way risk (WWR) behaves differently for exposures to systemically important counterparties because their default has the potential to move financial markets before the close-out. Michael Pykhtin and Alexander Sokol show how the traditional exposure…
Detroit swaps spark fight between dealers and insurers
Detroit spinners
Exposure under systemic impact
Exposure under systemic impact
Detroit prepares for court hearing on swaps termination
Court will rule on compromise agreement between bankrupt city and swaps counterparties
Danske Bank RWA spat worries modelling experts
Model-bashing
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution, and…
Industry offers alternative to simplified securitisation capital formula
The Basel approach is criticised as inconsistent, prompting a group of quants to develop an alternative
Basel Committee may look to floors and fixed parameters
Committee may introduce new floors on internal model outputs, after a report on RWAs for credit risk in the banking book found wide variations in bank practices
Regulatory obstacles hamper China securitisation market
New rules aim to promote the market but banks still prefer the WMP route
FCA narrows AIF definition for SPVs
The UK regulator calms reclassification fears by exempting SPVs that issue debt securities from being classed as alternative investment funds
Securitisation is "dead in Europe", say critics of new EBA proposals
Rules would require banks to allocate all securitisation exposure by individual, underlying obligor
Can ECB draw a line under European banking fears?
Before the European Central Bank takes on its new supervisory role, a planned asset-quality review should ensure it is not walking into trouble. That’s if the process is thorough, of course, and untainted by political pressure – sceptics say that will be…
Risk Japan: Basel securitisation reform creates ‘perverse incentives’
Inconsistent rules are damaging financial intermediation, says senior Japanese banker
Banks tout alternative to calculate CCP default fund capital charge
Dealers push for a more risk-sensitive model, but regulators may opt to incorporate a new non-internal modelled approach into the existing hypothetical capital method
US securitisation groups seek clarity on June 10 clearing deadline
US clearing rules do not exempt SPVs, but industry is split on whether other exemptions - for unclearable swaps - would apply
UK annuity providers review credit risk strategies
Balancing act
Indonesia’s credit growth outrunning risk management
Credit limit
Isda AGM: Industry to address negative interest rates under CSA
Industry group will launch a best practice document confirming that negative interest rates apply under CSA