Counterparty credit risk
Bank of America leaps to fourth on global OTC derivatives ranking
Bank overtakes BNP Paribas, Morgan Stanley, Goldman and Citi with €8.3 trillion expansion in 2024
FICC to launch new default fund before UST repo clearing mandate
Clearing members expected to welcome FICC’s plans to separate loss mutualisation from margin
FICC takes record bite from MMF repo investments
Funds shift cash from the Fed’s ON RRP as cleared repos hit $1.11trn
Basel III adoption gap widens as Turkey and India stall
With just a third of jurisdictions fully compliant, progress on the post-crisis banking reforms remains uneven worldwide
US Basel III endgame: counterparty credit risk rumblings
CVA rules need better recognition of clearing and hedging, while SA-CCR netting questions linger
Accounting fix brings FICC agent clearing a step closer
SEC accepts Sifma interpretation, but firms still need their own opinion and capital clarity
US Basel III endgame: a credit risk calibration conundrum
If regulators want to finalise the rules, they should strip out gold plate and cancel a haircut
Large US banks pile up CVA charges amid tariff shock
JP Morgan’s CVA risk-weighted assets saw largest jump in second quarter since Covid-19
Is the Netherlands the EU’s main source of counterparty risk?
Experts surprised by results of exploratory scenario in 2025 ECB stress-test
UBS RWAs rise $19bn amid FX swings
Weaker US dollar against Swiss franc pushes total RWAs past $500bn
Danske shrinks CVA capital charges 44% after hedge revamp
Credit protection buying spree helps cut capital requirements to lowest level since 2014
Softer DFAST market shock favours Goldman but confounds comparability
Tweak to trading book test reveals widening gap between bank and Fed loss forecasts
Hong Kong watchdog taps GenAI to monitor shadow banking risk
News headlines, social media and bank earnings calls all followed using in-house tools
European supervisors showing ‘no mercy’ on SA-CVA approvals
Risk Live: Bank of America found the compliance workload similar to FRTB internal models
An explicit scheme for pathwise cross valuation adjustment computations
The authors put forward a simulation/regression scheme for a class of anticipated backward stochastic differential equations, where the coefficient entails a conditional expected shortfall of the martingale part of the solution.
Why Basel’s push to overhaul PFE is a wake-up call for risk teams
The regulatory push, lessons from Archegos and why a unified PFE/XVA framework is becoming the new standard
Podcast: Fabrizio Anfuso on computing for Archegos-like event exposures
BoE quant discusses top-down counterparty risk framework using Gaussian distributions and copulae
BoE to consult on promoting clearing for gilt repo market
Isda AGM: Deputy governor also takes aim at bilateral repo haircuts and cross-CCP netting
BNP Paribas’s CVA risk charges swell 56% on Basel III overhaul
Impact of new formulas is largest yet for a G-Sib
US Basel equivalence questioned as EU patience wears thin
MEPs say unfaithful US implementation of Basel III could trigger review of third-country capital treatment
The WWR in the tail: a Monte Carlo framework for CCR stress testing
A methodology to compute stressed exposures based on a Gaussian copula and mixture distributions is introduced