Counterparty credit risk
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
Podcast: Gregory and Chung on wrong-way risk modelling
Quants discuss a better way to model wrong-way risk
CVA, debt raising said to drive SoftBank CDS trading
Volumes rise as tech giant’s debt spree forces banks to hedge their counterparty exposure
Citi culls HFTs from FXPB client list
HC Technologies, Jump Trading and Virtu Financial among those told to find a new prime broker
Banco Santander’s CVA charge drops 20% in Q1
Three EU G-Sibs cut capital requirements, three increase them
Fed pushes big banks to calculate CVA for CCPs
Banks including JP Morgan and Credit Suisse told to quantify exposure to CCPs for annual stress tests
L&G’s counterparty risk charge almost doubles in two years
Operational and market risk charges also climb at UK group
Allianz’s counterparty risk charge up €102 million in 2018
Total solvency capital requirement down €600 million year-on-year
Wrong-way risk of interest rate instruments
This paper investigates wrong-way risk effects on the pricing of counterparty credit risk for interest rate instruments.
DTCC in talks to clear MarketAxess bond trades
Market-first move could cut platform’s costs and counterparty risks
Morgan Stanley’s CVA charge swells 19% in Q1
Credit valuation adjustment capital charges have decreased at most G-Sibs year-on-year
Top UK banks' CVA charges up 10% in Q1
Barclays' and Standard Chartered's requirements increase over 20% each
StanChart's CVA charge triples year-on-year
Capital requirement hits $112 million at end-March
SA-CCR may need more fundamental fixes
Quants propose tweaks to improve Basel counterparty credit risk framework
Revisiting SA-CCR
Berrahoui, Islah and Kenyon propose an alternative to SA-CCR
SFT netting trails swaps at big EU banks
Netting wiped €1.5 trillion off nine G-Sibs' swaps exposures
Deutsche’s counterparty exposures at odds with capital
Large share of bank’s trades capitalised under internal model method