Counterparty risk
Ice Europe made $7.8bn VM call in Q3
Highest cash call on record triggered by higher commodity prices as Europe energy crisis persists
European banks’ CVA RWAs up €2.2bn in Q3
Banco Sabadell, Intesa Sanpaolo and ING Bank reported largest quarterly increases
US dollar Libor transition: the role of CCPs in conversion
As the transition from Libor to alternative risk-free rates approaches a new milestone, Philip Whitehurst, head of service development, rates at LCH SwapClear, discusses the central counterparty's (CCP's) plans for US dollar Libor conversion, the…
Treasury clearing will drive up trading costs: BofA exec
Rates co-head warns SEC proposal could squeeze smaller dealers out of Treasury market
Counterparty risk allocation
This paper investigates the problem of minimizing the risk of exposure to a small number of defaultable counterparties based on spectral risk measures.
Ice Credit’s required initial margin up 18% in Q2
CCP reported highest level on record, superseding Covid-19-induced peak
Counterparty credit risk: special report 2022
This Risk.net special report contains a collection of articles that consider the impact of SA-CCR and how banks are adapting to the new regime, as well as the challenges of managing counterparty credit risk and reducing the cost of trading over-the…
Credit checks, what credit checks? How crypto lending ate itself
Collapse of hedge fund Three Arrows Capital exposes “sloppy and irresponsible” credit standards among crypto lenders
BNP Paribas’ CVA capital charge hits record high
Risk-weighted assets for potential drop in value of derivatives instruments reached €6bn in June
JP Morgan extends run as top repo dealer to US funds
Counterparty Radar: New data shows wide variation in haircuts, with biggest clients – like BlackRock and Pimco – getting best terms
No soft landings in flight to safety from Russia
Impact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue
JP Morgan’s internal VAR hit 10-year high in March
CVA’s credit risk component split from VAR measure following credit spreads widening at some counterparties
Archegos revisited: the gaps in Credit Suisse’s story
Ahead of shareholder vote, former execs point to gaps in key report – raising new questions about accountability
UBS settlement risk up 238% as sanctions snag Russia trades
Held-up and failed counterparty transactions add almost $1bn to RWAs
Prime broker of the year: Barclays
Risk Awards 2022: Focus on risk management helps UK bank win client trust – and balances – in wake of Archegos collapse
Banks offer crypto clearing but, shhh, don’t tell
Top dealers clear crypto futures for select clients despite smorgasbord of risks
XVA in Japan: the outlook for 2022
Hiroyuki Yoshizawa, executive director, pricing valuations and reference data at IHS Markit Group Japan explores why financial institutions that were early-accounting CVA adopters are now taking the next steps on their XVA journeys
Can ESG trading and best execution coexist?
Not everyone thinks making a statement on ESG would work against client interests
Vanguard eyes DLT for FX forwards after smart contract success
Fund giant hopes roll-out of tech in 2022 will deliver greater efficiency and pricing benefits
Buy-side traders start to cool on ESG-deficient dealers
Managers adopting ESG metrics in counterparty evaluations may exclude dealers that aren’t up to scratch
Review of 2021: Default, revolt, reform
Archegos, GameStop, the last days of Libor – markets just about coped in a bleak and disorderly year
UK banks’ RWAs return to growth
Latest Bank of England data shows first increase since Q1, 2020
SA-CCR brings little succour for FX dealers and clients
Spreads on swaps and forwards likely to widen as banks adjust to capital-intensive regime
XVAs and counterparty credit risk for energy markets: addressing the challenges and unravelling complexity
In this webinar, a panel of quantitative researchers and risk practitioners from banks, energy firms and a software vendor discuss practical challenges in the modelling and risk management of XVAs and CCR in the energy markets, and how to overcome them.