Counterparty credit risk
UK bank RWAs inch up on credit and counterparty risk
Total RWAs stable year-on-year
Derivatives assets surge at eurozone hedge funds
Derivatives assets made up 16% of total hedge fund assets in March
Risk and finance – Better together
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. SAS explores why, to successfully meet these new requirements, organisations need to rethink the way they operate
Rival FXPBs scoop up former Citi clients
BNP Paribas, Deutsche Bank among those taking on clients axed by the US bank, plus others worried they’ll be next
Podcast: Gregory and Chung on wrong-way risk modelling
Quants discuss a better way to model wrong-way risk
CVA, debt raising said to drive SoftBank CDS trading
Volumes rise as tech giant’s debt spree forces banks to hedge their counterparty exposure
Citi culls HFTs from FXPB client list
HC Technologies, Jump Trading and Virtu Financial among those told to find a new prime broker
Banco Santander’s CVA charge drops 20% in Q1
Three EU G-Sibs cut capital requirements, three increase them
Fed pushes big banks to calculate CVA for CCPs
Banks including JP Morgan and Credit Suisse told to quantify exposure to CCPs for annual stress tests
L&G’s counterparty risk charge almost doubles in two years
Operational and market risk charges also climb at UK group
Allianz’s counterparty risk charge up €102 million in 2018
Total solvency capital requirement down €600 million year-on-year
Wrong-way risk of interest rate instruments
This paper investigates wrong-way risk effects on the pricing of counterparty credit risk for interest rate instruments.
DTCC in talks to clear MarketAxess bond trades
Market-first move could cut platform’s costs and counterparty risks
Morgan Stanley’s CVA charge swells 19% in Q1
Credit valuation adjustment capital charges have decreased at most G-Sibs year-on-year
Top UK banks' CVA charges up 10% in Q1
Barclays' and Standard Chartered's requirements increase over 20% each
StanChart's CVA charge triples year-on-year
Capital requirement hits $112 million at end-March
SA-CCR may need more fundamental fixes
Quants propose tweaks to improve Basel counterparty credit risk framework
Revisiting SA-CCR
Berrahoui, Islah and Kenyon propose an alternative to SA-CCR
SFT netting trails swaps at big EU banks
Netting wiped €1.5 trillion off nine G-Sibs' swaps exposures
Deutsche’s counterparty exposures at odds with capital
Large share of bank’s trades capitalised under internal model method
US swaps end-users cry foul over SA-CCR punch
Capital on non-margined trades jumps 90%, and energy firms face double hit
Will the Nasdaq default spur CVA for CCPs?
Quant proposes model to calculate bank credit risk exposure to CCP
Central counterparty CVA
Matthias Arnsdorf proposes a method to calculate the counterparty risk related to CCP membership
Lower credit risk shrinks UK banks’ RWAs
Figures from the Bank of England show total RWAs for the UK banking sector amounted to £2.83 trillion at end-December