Credit risk
Legal clouds hang over RWA-driven netting push
New capital requirements are making it more difficult for banks to trade with counterparties that are not covered by a netting opinion. That is spurring attempts to expand coverage, but can leave banks and lawyers on uncertain ground. By Lukas Becker
Europe goes its own way on CVA
Europe goes its own way on CVA
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 focuses more on the centre of the distribution. This…
Asia corporates unfairly ‘penalised’ by CVA capital charge
The move by European authorities to exempt European banks from holding CVA capital should be matched by regulators in Asia, according to senior bankers in the region
Basel Committee seeks netting-friendly replacement for CEM
Consultation on alternative to much-criticised current exposure method could start in June
Europe edges towards three-pronged CVA exemption
CRD IV set to exempt trades with corporates, sovereigns and pension funds
South Africa's securities lenders seek collateral clarity
Security in lending?
CLO market appeals to yield-hungry investors
Post-financial crisis structured credit has been in hiding: but 2013 has seen the re-emergence of the collateralised loan obligation (CLO) market, with yield-hungry Asian players demonstrating a strong appetite for the paper
Cutting Edge introduction: Wrong-way risk and the limits of correlation
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may provide some fresh insight. Laurie Carver introduces this…
DVA for assets
DVA for assets
Wrong-way risk, credit and funding
Wrong-way risk, credit and funding
Family offices find an appetite for credit risk
Family wealth funds are dumping hedge fund positions and taking control of their own investment decisions. But as some move into direct lending – to replace retreating banks – they face new risk management challenges. Peter Madigan reports
SG plans to securitise €1.9 billion of derivatives exposure
Deal is said to pay a coupon of 11% for first-loss protection – which some investors say is too low
Cutting Edge introduction: Goodwill for DVA
Goodwill blunting
Effectiveness of new collateral forum questioned
Euroclear questions whether a new liquidity forum that brings together five central securities depositories will be anything other than a talking shop
DVA for assets
DVA for assets
Post-MF Global segregation reforms spark fierce debate
Searching for security
European swap margin rules won’t be retroactive, says Esma
Trades will not become subject to initial margin rules part-way through their life, rule-making body tells Risk