Counterparty credit risk
Obstacles and opportunities in adopting cloud computing
Sponsored Q&A
Climate risk rising up agenda for lenders
Reliable measures still some way off, banks admit
UK regulator quizzes banks on margin gaps
Request for ‘risks-not-in-Simm’ data could usher in new Pillar 2 capital charge
Counterparty credit exposure won't spark the next Lehman
Curbing of riskiest exposures and shedding of assets means banks in far better shape 10 years on
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
Counterparty risk builds at Bank of America, JP Morgan
Higher portion of RWAs attributable to more risky derivatives and repo counterparties
CVA gain bolsters JP Morgan trading revenues
$302 million of first half trading revenues attributed to credit valuation adjustment
Switch to internal model helps HSBC cut counterparty risk by 18%
HSBC cut counterparty credit risk-weighted assets by 18% – $10.4 billion – in the second quarter
Banks still face risk of Fed disapproval on exposure limits
Rules loosened on affiliated counterparties, but supervisor can reject banks’ findings
UBS far exceeds 2018 credit and counterparty risk estimate
Sfr2.4 billion growth attributed to model changes alone
UK banks ramp up market risk
Market RWAs up £18 billion in first quarter
BAML replaces head of global rates
Gupta and Stanley named co-heads as Roberts exits
Model and policy changes behind billions in UK bank RWA shifts
Net capital charges of £368 million across five lenders attributable to model updates alone
US CVA charges over seven times higher than EU
Huge disparity appears to result from EU exemption for corporate trades
EU parliament’s moratorium plan billed ‘recipe for bank run’
Proposal allows pre-resolution stay as well as one during resolution provided bank reopens in between
JP Morgan counterparty credit risk grows
Risk-weighted assets consumed by least-risky counterparties decline from 57% to 36% in two years
Fed, Goldman: wide use of SA-CCR creates problems
Isda AGM: Fed plans quick implementation, while Goldman urges caution on extending use
Softened EU swap stay still threatens margin hike
Moratorium cut to two days, but pre-resolution stay could make EU a non-netting jurisdiction
A copula approach to credit valuation adjustment for swaps under wrong-way risk
This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR).
Initial margin with risky collateral
This paper explores the complication of calculating the IM amount requirement when collateral comprises risky assets in a parametric VaR framework. The authors show that the required IM amount can be calculated by solving a quadratic inequality.
Asia clearing surge raises concerns over eligible collateral
Scarcity of high-quality liquid assets gives rise to liquidity risk worries, say banks