Counterparty credit risk
CVA exposures to UK corporates jump ‘hundreds of millions’
Dash for credit protection triggered a doom loop in the CDSs of cross-currency swap counterparties
FX market weighs viability of spot clearing
Supporters believe it could remove credit risks, but others say it would be unnecessary and add costs
Counterparty credit risk: special report 2022
This Risk.net special report contains a collection of articles that consider the impact of SA-CCR and how banks are adapting to the new regime, as well as the challenges of managing counterparty credit risk and reducing the cost of trading over-the…
XVAs boost Helaba trading income but inflate hedging costs
Expense from non-trading hedges reaches highest since at least 2016
EU Parliament creates multiverse of SA-CCR outcomes
Some MEPs want to ease rules further than EC draft; others want return to undiluted Basel text
Credit checks, what credit checks? How crypto lending ate itself
Collapse of hedge fund Three Arrows Capital exposes “sloppy and irresponsible” credit standards among crypto lenders
Managing CCR to reduce the all-in cost of OTC derivatives portfolios
Erik Petri, head of triBalance at OSTTRA, explores how counterparty credit risk (CCR) compounds the costs of trading over-the-counter (OTC) derivatives and the maintenance of derivatives portfolios, examining the nuances of OTC credit risk management,…
Archegos revives Lehman-era trade booking controversy
Experts debate whether defaulted TRS positions should have become house exposures immediately
BNP Paribas’ CVA capital charge hits record high
Risk-weighted assets for potential drop in value of derivatives instruments reached €6bn in June
European banks can’t escape SA-CCR hit, warns FX exec
Although not yet directly affected, EU dealers may feel regulation’s impact, says Goldman’s Wilkins
Project finance risk methodologies
Federico Tacchetto, senior manager at Prometeia, describes how to calculate risk parameters for project finance exposures. Based on a simulation approach of the cashflows, it is assessed whether the generated net revenue will be sufficient to repay the…
Late EU clearing house recognition spooks dealers
Bank capital requirements on exposures to affected foreign CCPs could jump after June 28 deadline
How will US regulators perform the Basel III balancing act?
Largest banks seek offsets for higher capital requirements caused by possible end of IRB, IMM
Standard risk measures low-balled Archegos exposures
When a potential blow-up doesn’t show up, what use are VAR, SA-CCR and stress tests?
Credit risk capital models hanging by a thread in the US
Industry insiders expect Fed to drop IRB and IMM when adopting Basel III, but market risk models may survive
Is Citi’s SA-CCR hit a sign of things to come?
Higher capital costs for dealing in uncollateralised FX swaps and forwards could impact banks and clients alike
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
BNP Paribas notches three VAR breaches in Q1
Latest count puts bank on cusp of capital penalty
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
How to model potential exposure, post-Archegos
BofA quant’s model considers the correlation between market shocks and counterparty defaults
Nordea’s CVA charge jumps 30% in Q1
Highest reading for the Finnish bank since the start of 2019
UBS settlement risk up 238% as sanctions snag Russia trades
Held-up and failed counterparty transactions add almost $1bn to RWAs
SA-CCR hits Citi’s FX forwards pricing
Four clients say US bank has quoted “less competitive” spreads as a result of new capital regime