Counterparty credit risk
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
Index CDS trading nearly doubles as tariffs spook market
Turnover ebbed in single-name contracts as iTraxx and CDX volumes climbed rapidly last week
US banks held record $78bn in equity collateral before market crash
Stocks made up 11% of dealers’ OTC derivatives collateral at end-2024 – highest ever reported
FRTB may bite harder for Europe’s CVA modellers
Farther reach of advanced approach and lighter load on total requirements mean limited takeaways from Canada and Japan’s implementation
UBS’s CVA charges spike by 30% under new market risk regime
Proportional impact is higher than at any FRTB adopter so far
A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives
Basel tweak may weaken counterparty hedging, industry warns
Proposed technical revision risks dissuading bespoke CDSs and guarantees covering derivatives exposures
Gilt repo clearing mandate on Bank of England’s radar
Sources say regulator mulling benefits of US-inspired regime, but is non-committal
Norinchukin’s repo retreat brings SFT exposures to four-year low
Japanese bank slashes gross SFT assets 54% in Q4, accelerating pullback from repo market to bolster capital
LCH expects to boost deliverable FX clearing with new adds
Onboarding of dealers and link-up with CLS could swell interbank deliverable FX clearing volumes
US MMFs clear record one-third of repos via FICC
Trades executed through sponsored access hit a $865 billion high at end-2024
Basel stops short on wrong-way risk
New guidelines a step in right direction, but experts warn they won’t prevent another Archegos
RBC’s CVA risk charges swell 42% in first year under FRTB
Bloating RWAs contrast with declines at peers employing new standardised approach