Counterparty credit risk
The homotopy analysis method for derivatives pricing under wrong-way risk
Derivatives pricing is approximated with a computationally efficient homotopy-based application that accounts for WWR
Degree of influence: Regulatory policies drive quantitative research
Counterparty risk and market risk hold centre stage, data science moves up, quantum computing debuts
Santander’s CVA charge up 15% in Q3
Other eurozone G-Sibs see their CVA requirements fall
BMO braces for SA-CCR, revised securitisation charges
Bank expects C$100m equity hit through introduction of IFRS 16
Smaller Japan banks set to adopt CVA accounting
IFRS convergence levels playing field as regional banks start to price in credit risk
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
At US G-Sibs, swap exposures to corporates climb $43bn in Q3
BofA Securities’ exposures to hedge funds plummets following spike in Q1
StanChart’s CVA charge jumps 39% in Q3
CVA accounts for an ever-increasing portion of the bank’s total 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