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
UK lender Lloyds had 13% of its loan book under payment moratoria as of June 30
Loss-absorbing resources stashed with commercial banks fell over the three months to end-June
Asia Risk Technology Awards 2020
Seventy-three per cent of respondents expect tight price and non-price terms through September
With hopes of EU regulatory carve-out fading, some banks are taking matters into their own hands
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
CCP members were able to meet massive margin calls in March. But could they do it again?
Exemptions for intra-group and equity options from non-cleared margin rules expire by January 2021
Nobody knows what will happen to Libor at the end of 2021, but the market has to be ready for anything – including the benchmark’s demise. This continues to be the message from regulators, despite the havoc caused by the Covid-19 pandemic. The coming…