Higher capital requirements also at Barclays, Lloyds and NatWest, with HSBC the only outlier among top UK banks
Requirement to include exposure spikes linked to swap payments within EEPE models prompts blowback
Big FX venue operators offer way to reduce overallocation of credit
Basel III updates take a more sensitive approach to calculating risk weightings and capital charges. Paul Whitmore, global head of counterparty risk solutions at Fitch Solutions, explains how credit risk professionals can prepare
Dealer’s giant loan portfolio hit the hardest among 23 participating banks
The call was for a participant in the CCP’s clearing services that cover IRS, CDS and exchange-traded financial products
With margin requirements a potential drain on financial resources, delivering healthy returns while meeting regulatory obligations is paramount. To help participants optimise more of their risk, Varqa Abyaneh, chief product officer, Quantile, discusses…
The authors examine how liquidity is exchanged in different types of Colombian money market networks (ie, secured, unsecured and the central bank’s repurchase networks) as registered in the local financial market infrastructure.
Average bank CET1 capital ratio fell 71bp through Trim process
Can a centenarian maths idea speed up the calculation of forward sensitivities?
Credit, market RWAs ebbed over the year
Credit conditions had eased in Q3 and Q4 2020, but were expected to get tougher in Q1
At Citi, counterparty credit RWAs for OTC portfolios increased 51%
Effects of credit deterioration offset by disposals, portfolio reductions
Risk Awards 2021: digital bets and customer-centric model paid off during pandemic
Risk.net research finds 28 of 50 large companies now have CSAs – but has the trend run its course?
Crédit Agricole, Deutsche Bank, Barclays, Commerzbank and Societe Generale account for 31% of total CVA across 135 banks
This white paper, based on the findings of a Risk.net survey commissioned by Nasdaq, assesses market participants’ efficiency in managing risk, margin and collateral amid increased volatility, and the transition to new central counterparty risk…
Global lenders seek to hedge against the threat of US sanctions on China – which seems unlikely to ease under Biden
Aggregate CVA RWAs of top five UK banks fell 21%
Group set up after big Citi loss considers limit-checking hub, among other options
Clearing giant is optimising its treasury function to combat low rates and CCP fee hikes
10 years on, David Murphy says mandate should be rebased to exempt less risky firms
Participant contributions to default fund up 55% quarter-on-quarter