Counterparty credit risk
Increased legal entity identifier issuance improves reporting
Growing LEI issuance has improved reporting, but what comes next?
CVA and FVA with liability-side pricing
Wujiang Lou calculates CVA and FVA abiding by the law of one price
Applied risk management series: Counterparty risk exposure metrics
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
BlueCrest: fixed-income market structure faces uncertain future
COO in interview cites equity-like evolution and regulation squeezing liquidity
Right-way risk can create a false sense of security
Counterparty correlations are no substitute for due diligence, argues Kaminski
Counterparty credit risk pricing and measurement of swaption portfolios
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility assumptions.
Termination rights protocol due by end of September
But concerns remain about effects on resolution and capital requirements
Credit exposure models backtesting for Basel III
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into a…
Adapt and thrive: How Numerix evolved beyond pricing and analytics to become a leader in risk
Sponsored feature: Numerix
Energy markets need more than second-hand credit models
Financial models fall down in energy markets, argues Kaminski
The optimisation of everything: OTC derivatives, counterparty risk and funding
Content provided by IBM
Exposure under systemic impact
Wrong-way risk (WWR) behaves differently for exposures to systemically important counterparties because their default has the potential to move financial markets before the close-out. Michael Pykhtin and Alexander Sokol show how the traditional exposure…
Basel III counterparty credit risk approach unsuitable for low-volatility Asian currencies
Low volatility among some Asian currencies results in overly prudent risk analysis
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution, and…
Lack of local currency OIS markets problematic for Asia banks
The move towards OIS discounting is proving difficult enough for banks in US and European markets but firms in Asia are facing the added difficulty of a dealing with multiple currencies
CVA exemptions should be rolled out globally – Risk.net poll
Three quarters of survey respondents believe regulators should copy the European Union’s CVA exemptions for trades with corporates, pension funds and sovereigns
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach focuses more on the centre of the distribution. This…
CDSs, CVA and DVA – a structural approach
CDSs, CVA and DVA – a structural approach
Cutting Edge introduction: Wrong-way risk and the limits of correlation
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may provide some fresh insight. Laurie Carver introduces this…
Wrong-way risk, credit and funding
Wrong-way risk, credit and funding
Closing out DVA
Closing out DVA