Counterparty credit risk
Citi’s counterparty credit RWAs surge 12% in Q3
Bank has increased OTC derivatives exposures 15% year-to-date and repo exposures by 37%
Banks feel chill of exposure from Fed’s SCCL
US rules on counterparty credit limit pose challenges for risk and regulatory teams despite proposed delay, says expert
Lloyds’ counterparty credit risk charge rises £60m in Q3
Charge for mark-to-market changes to derivatives increases 10%
Structural snags frustrate STS for synthetics
Curbs on excess spread and collateral stymie route to ‘high-quality’ signifier
Frandt or foe? FCMs hit back at Esma buy-side clearing salvo
Esma pushes dealers to publish standardised fee schedules amid clearing capacity fears
Capital cut for synthetic securitisations splits regulators
European rulemakers wary of diverging from Basel standards
UK banks accelerate RWA increases in Q2
Market and operational RWAs return to growth after shrinking in Q1
Basel III heralds wild CVA capital swings
Minimum required capital for CVA to climb 64% for large banks, but some banks will see falls of up to 67%
JP Morgan’s CVA charge jumps $249m in Q2
All US G-Sibs post higher CVA capital requirements for the quarter
Top UK banks cut CVA charges by 9% in Q2
Standard Chartered is only outlier among big five to see capital requirement rise
Credit derivatives house of the year: Societe Generale
Asia Risk Awards 2019
Big US banks hold more Treasuries as swaps collateral
Government securities made up 8.2% of all initial and variation margin at G-Sibs in Q2
The efficiency of the Anderson–Darling test with a limited sample size: an application to backtesting counterparty credit risk internal models
This paper presents a theoretical and empirical evaluation of the Anderson–Darling test when the sample size is limited.
Two US dealers grow appetite for counterparty risk
JP Morgan sees risk weight of portfolio climb to 41.5%
SA-CCR switch cuts leverage of two Japanese banks
Leverage exposures for Nomura and Norinchukin fall ¥4.7 trillion in aggregate
EU banks relax credit terms for OTC trades – ECB
Price and non-price trade conditions likely to ease for most firms in Q3
Optimal posting of collateral with recurrent neural networks
Pierre Henry-Labordère applies neural networks to a control problem approach for managing collateral
As revamp begins, Deutsche’s RWAs for CVA fall
Credit valuation adjustment RWAs down 30% year-on-year
Nordea’s CVA charge drops 34%
CVA requirements are at their lowest level since Q3 2018
Synthetic securitisations and Europe’s capital sweetener
Regulator weighs high-quality label for synthetic deals, but without favourable capital treatment
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. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these…
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