Counterparty risk
Credit risk – The bank data challenge in frontier markets
As the regulatory net tightens, banks working in and across frontier regions are under pressure to source and maintain more accurate data in the assessment of counterparty credit risk, but some are investing in tools to tackle the problem
Fed’s stress tests to gauge banks’ leveraged loan risks
CLOs to suffer “severe corrections” under 2020 scenario
Signing the Libor fallback protocol: a cautionary tale
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
Ties between banks and non-banks at pre-crisis levels – FSB
Other financial intermediaries grow share of total financial assets to 30.5% in 2017
One bad apple: default risk at CCPs
One clearing member's disproportionately large position increases the credit risk for all CCP members
The homotopy analysis method for derivatives pricing under wrong-way risk
Derivatives pricing is approximated with a computationally efficient homotopy-based application that accounts for WWR
Santander’s CVA charge up 15% in Q3
Other eurozone G-Sibs see their CVA requirements fall
JSCC issued ¥486bn VM call in Q3
Estimated largest payment obligation sized at ¥620 billion
At US G-Sibs, swap exposures to corporates climb $43bn in Q3
BofA Securities’ exposures to hedge funds plummets following spike in Q1
StanChart’s CVA charge jumps 39% in Q3
CVA accounts for an ever-increasing portion of the bank’s total counterparty credit risk
Citi’s counterparty credit RWAs surge 12% in Q3
Bank has increased OTC derivatives exposures 15% year-to-date and repo exposures by 37%
Prime services – It’s about what you bring
There are many benefits to integration – particularly when it comes to the provision of prime services. Societe Generale has followed this path, which has allowed it to improve cost efficiency and improve the range of products it can offer. The bank has…
Banks feel chill of exposure from Fed’s SCCL
US rules on counterparty credit limit pose challenges for risk and regulatory teams despite proposed delay, says expert
Banks warn of trader crunch at CCP default auctions
Risk USA: dealers hope for more cross-CCP fire drills
Lloyds’ counterparty credit risk charge rises £60m in Q3
Charge for mark-to-market changes to derivatives increases 10%
Best CVA practices in Japan
At a recent roundtable in Tokyo, banks and regulators discussed progress on credit valuation adjustment (CVA). While, in many respects, the work towards implementing best practices in the country is on track, challenges remain in resourcing and…
LCH SA members add €371m to cash, derivatives default fund
Funds for other clearing activities see quarter-on-quarter falls, in contrast
Ice’s European CDS clearing house adds €175m to default fund in Q2
In contrast, futures and options fund shrinks 6% quarter-on-quarter
Basel III heralds wild CVA capital swings
Minimum required capital for CVA to climb 64% for large banks, but some banks will see falls of up to 67%
LCH SA on the hook for €32bn if member defaults
Payment obligation, if realised, would wipe out 50% of CCP’s liquidity buffer
ETF strategies to manage market volatility
Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…
DTCC default fund contributions climb 15%
CCP had 270 clearing members at end-June
Eurex Clearing members add €609m to default fund
Initial margin posted in Q2 soars 5%
JP Morgan’s CVA charge jumps $249m in Q2
All US G-Sibs post higher CVA capital requirements for the quarter