Counterparty credit risk
Asia clearing surge raises concerns over eligible collateral
Scarcity of high-quality liquid assets gives rise to liquidity risk worries, say banks
Calibrating Heston for credit risk
Marco de Innocentis and Sergei Levendorskiĭ describe a faster and more accurate method for market-implied calibration of the Heston model
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
In a bind: how CCAR constrains US bank strategy
Fed’s stress tests are forcing banks to cut loan portfolios and trading assets
Bailout obsession holds back US CCP resolution regime
Dodd-Frank leaves legal uncertainty, but proposed alternatives could be even worse
Basel capital floor faces credit risk eclipse
Impact of capital floor depends on new credit risk rules and changes to treatment of provisions
Time trial: the big risks that lurk in OTC margin gaps
Banks take aim at margin and trade-flow lag that can cause 95% of counterparty risk
EBA shelves CVA charge plans after twin defeats
Ongoing rule changes at Basel and EU could allow future bid to end corporate exemption
Derivatives start-up aims to cut costs at margin hub
Ex-Morgan Stanley bankers’ offering aims to reduce daily collateral flows that currently top $200bn
Big losses force banks to rethink energy lending
Unfunded loans and exposures to suppliers worry credit risk managers
Traders blame bail-in for Deutsche CDS jump
Debt subordination behind spread widening from January; CVA desks may need to adjust hedge ratios
CVA models may miss half of true default risk
Benefits of initial margin also overstated, new research finds
EBA connected counterparty plan raises compliance jitters
Guidelines would cut the large exposure due diligence threshold to 2%, versus the 5% Basel standard
Credit risk in energy: Best practices for challenging times
Sponsored webinar: Moody's Analytics
Brexit spurs rethink of political risk at global banks
Some banks are reserving capital against political risks, such as Brexit
Basel Committee’s CVA shocker ignores trade-offs
Ditching own models for CVA risk is too binary and eliminates possibility of further dialogue
Asian banks plead for extra time on Basel credit risk reforms
Switching to the standardised approach for credit modelling could have an impact on their legacy books
Dealers disagree over charge for CCP counterparty risk
Fed stress tests push US banks towards charging CVA for cleared derivatives
Regional banks may benefit from Basel CVA surprise
Basel Committee decision removes potential source of competitive advantage for large dealers
The double default value-of-the-firm model
This paper analyses whether the double default treatment under Basel II is appropriate to capture the asymmetric relationship between an obligor and its guarantor.
Fund industry defends use of credit lines as liquidity backstop
Concerns about systemic risk unjustified, say asset managers
What credit auction friction says about the OTC market
Benefits of risk bifurcation threatened by collateral conflicts
Oil rout sharpens energy companies' focus on credit risk
As defaults rise, firms step up sophistication of counterparty assessments