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Counterparty credit risk

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Getting it together

Data consolidation is now a vital foundation to any successful risk management implementation, as Dave Rose and Stuart Cook of The Structure Group report

Analysing counterparty risk

In an attempt to improve on existing regulatory approaches to derivatives counterparty creditrisk, Eduardo Canabarro, Evan Picoult and Tom Wilde present a new method based on expectedpositive exposure (EPE).

Sponsor's article > Reason for hope

One disappointing aspect of the Basel II deliberations has been the lack of any proposed change in the treatment of counterparty credit exposures. David Rowe argues that recent dialogue between the Basel Committee and industry representatives offers hope…

Analysing counterparty risk

In an attempt to improve on existing regulatory approaches to derivatives counterparty creditrisk, Eduardo Canabarro, Evan Picoult and Tom Wilde present a new method based on expectedpositive exposure (EPE). Using a one-factor conditional independence…

Continuous-linked settlement: Extending to Asia

Continuous-linked settlement – the initiative designed to eliminate forex settlement risk – went live at the end of last year. But with only Australia and Japan represented in the first batch of currencies, what will CLS mean for Asia’s banks?

Frozen in time

David Rowe believes the Basel Committee on Banking Supervision is perpetuating obsolete standards of risk measurement.

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