Credit spreads
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
Inside Blackstone’s $150bn private credit business
Talking Heads 2023: Alts giant has around 10% of global market and hopes to expand its reach by porting quant insights from liquid credit
Derivatives valuation swings lop $2.4bn off BofA’s income in Q2
DVAs and markdowns on fair-value hedges return to drag on dealer’s revenue
Banks begin tackling climate stress tests of trading books
Market risk professionals see major shortcomings in available scenarios
Citi’s CVA charge up 7% in Q1
Bank retains the highest capital requirements of any US dealer, ahead of JP Morgan and Bank of America
A model for small basket equities financing
A haircut model for equity baskets based on credit and equity indexes is introduced
SocGen’s VAR up 33% in Q4
Gap with French rival BNP Paribas shrinks to just €9 million, the least since mid-2020
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
RBI’s VAR gauges hit new record
Banking and trading book risk rose in Q3 amid shifts in risk factor mix
Nomura loses $18m on derivatives CVAs and DVAs
Net result from own and counterparty credit spreads swings to negative
XVAs boost Helaba trading income but inflate hedging costs
Expense from non-trading hedges reaches highest since at least 2016
Optimal exercise of callable bonds
Citi quants and structurers present a term-structure model for callable bonds' work
Crédit Agricole’s VAR jumps 88% on fixed income blow-up
Trading risk gauge reached the highest since Q2 2020
NatWest cuts banking book market risk by 48%
Lower credit spread risk from bond disposals partly offset by interest rate risk on hedges
Evergrande stress boosts fledgling China CDS indexes
Interest surges in products seen as better gauges of credit risk for embattled property sector
Santander’s VAR surges 17% in Q3
Macroeconomic jitters push credit spread and interest rate risk up, but bank’s traders net income windfall
SEC’s Gensler takes aim at Bloomberg’s BSBY index
Credit sensitive SOFR alternative has “many of the same flaws as Libor”, regulator says
The Libor replacement stakes: runners and riders
Credit-sensitive rates Ameribor and BSBY nose ahead of Ice, Markit and AXI; regulators keep watchful eye
ARRC’s Wipf ‘puzzled’ by appeal of Libor-like benchmarks
Credit-sensitive benchmarks face questions over inputs and compliance
Credit migration: generating generators
A stochastic time change helps the modelling of rating transition