Counterparty credit risk
2010 Asia Pacific CVA Forum: Singapore going live with CVA, Korea next?
Domestic banks in Singapore are starting to set up CVA desks at the behest of their regulator, but elsewhere in Asia there are significant obstacles to CVA
Two curves, one price
The financial crisis multiplied the yield curves used to price interest rate derivatives, making traditional no arbitrage pricing no longer valid. By taking into account the basis adjustment bootstrapped from market basis swaps and using a foreign…
New clearing rules may make CDS prohibitively expensive, traders warn
Buy-side market participants are expecting increased operational costs when new regulation on central clearing of CDS contracts is implemented
Two curves, one price
Interest Rate Derivatives
Coping with the new CVA challenges
Countering the credit challenge
Basel Committee defends adjustments to Basel III as calibration decisions loom
Regulators describe difficulties ahead as they prepare for Basel III calibration and transition decisions in September
Basel Committee to rethink CVA capital charge
Regulators might adapt the bond-equivalent approach amid claims the methodology will lead to perverse incentives
Basel Committee revises proposals for capital charge on counterparty risk
The Basel Committee on Banking Supervision has adapted its proposals for a capital charge on counterparty risk following industry feedback, but banks were hoping supervisors would go further. By Mark Pengelly
Asia Risk 15: Derivatives netting not fully in place in Asia
The standardisation and enforceability of documents represents a cornerstone of the over-the-counter derivatives market in Asia. But as the sector continues to grow, risk mitigation from close-out netting has yet to gain legal certainty in many …
Basel Committee sets out plans for completion of Basel III
Regulators announce a longer transition period and changes to CVA charge
The end for one-way CSAs
Sovereign derivatives users have been able to avoid posting collateral to their dealer counterparties in the past, but pending reforms to bank capital and funding rules are changing the equation. If sovereigns refuse to budge, they will have to accept…
Basel CVA changes criticised
The Basel Committee on Banking Supervision has adapted its proposals for a capital charge on counterparty risk following industry feedback, but banks were hoping supervisors would go further. By Mark Pengelly
Basel counterparty risk charge to be reworked
Several aspects of Basel counterparty risk charge up for revision, including calibration and index hedges
LCH.Clearnet may offer 'lite' membership to sovereigns
Clearer's plans to create a special membership category for central banks and other sovereigns could undermine CCPs' risk-mutualisation model, rivals claim
Two curves, one price
The financial crisis has multiplied the yield curves used to price plain vanilla interest rate derivatives, making classic single-curve no-arbitrage relations and pricing formulas no longer valid. Marco Bianchetti shows that no-arbitrage can be recovered…
Portuguese debt office agrees to post collateral to its dealers
Agency becomes one of first developed-market sovereigns to succumb to dealer pressure as costs of one-way collateral postings grow
Key Basel III decisions due as oversight board gathers
Governors and heads of supervision will review recommendations brought forward from July 14-15 Basel Committee meeting
CFTC rules increase credit risk
Proposed rules to limit leverage on margin FX trading accounts at retail forex brokers will have the unintended consequence of increasing counterparty risk, according to Josh Levy, managing director at Tactical Asset Management.
Enforce clearing, catapult FX into the big league, say FX Week USA panellists
Foreign exchange is held back from fulfilling its potential as an asset class because of counterparty risk issues, said panellists.
Quant Congress USA: Ban DVA, counterparty risk quant says
Banks should not book paper profits as their own debt quality worsens, the Risk conference heard yesterday
ETFs: simple, or simply confusing?
Exchange-traded funds first appeared 20 years ago as transparent, easy to understand alternatives to actively managed funds. But as they have developed some of this transparency and simplicity has been lost. The first Structured Products ETF survey asks…
NY Fed attacks article on AIG debacle
New York Fed general counsel Thomas Baxter takes issue with New York Times article which says Fed ignored advice from advisers on AIG counterparty CDS issue
Index hedges may be allowed in Basel CVA charge
Basel Committee modelling group chair suggests index hedges and double counting could be fixed in proposed CVA charge.