Counterparty credit risk at JP Morgan is climbing, with an increasing share of its derivatives and repo books now seen as more likely to default. Exposure amounts and risk-weighted assets (RWAs) for these trades have increased considerably over the last two years.
The biggest change is in the portion of RWAs consumed by the least-risky counterparties – those with a less than 0.15% probability of default (PD). This group now represents 36% of total counterparty credit RWAs, down from 57% two yea
The week on Risk.net, September 8-14, 2018Receive this by email