Counterparty risk
Deutsche’s counterparty exposures at odds with capital
Large share of bank’s trades capitalised under internal model method
Central counterparty CVA
Matthias Arnsdorf proposes a method to calculate the counterparty risk related to CCP membership
Counterparty risk climbs at JP Morgan, falls back at rivals
JP Morgan EADs up 10% and CRR RWAs 11% year-on-year
DTCC members add $26bn to default funds in 2018
Clearing house's own contributions dipped $8.5 million last year
Mizuho reveals $270m CVA loss
Further losses may be reported as bank refines its methodology, sources say
Clearing members inject $2.5bn to JSCC default funds in 2018
Higher contributions likely reflect increased exposures at the CCP
CVA and IM: welcome to the machine
Henry-Labordere proposes a neural networks-based technique to price counterparty risk and initial margin
Buy-siders eye ways to get ahead of US resolution stay rules
Come July 1, asset managers will be unable to dump derivatives as a G-Sib is unwound. Lawyers are standing by
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
A tale of two CCPs
Nasdaq and Ice breaches carry warnings for the market
CME trims default fund in Q3
Non-interest rate futures and options default fund reduces by $3.7 billion
JP Morgan slashes UK exposures ahead of Brexit
Derivatives and securities exposures halved since June 2016
Driverless insurance: regulating Prudential without the Fed
Scrutiny on largest US insurer should not be laxer than on second-tier US banks, experts warn
Nasdaq default: rivals question direct clearing
“Was this individual margined correctly?” asks Ice’s Sprecher
Eurex default fund swells to €4.5 billion
Second quarter saw the second-largest quarterly increase since the CCP began reporting in 2015
Compression lessons from Japan
Chinese banks remain reluctant to compress, but Japan’s example offers succour
UK banks build up risk in Q2
Total RWAs were up £57 billion, from £2.89 trillion to £2.94 trillion
JP exec calls for derivatives margin changes
Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Counterparty credit exposure won't spark the next Lehman
Curbing of riskiest exposures and shedding of assets means banks in far better shape 10 years on
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
Optimisation services edge closer to EU clearing exemption
Lawmakers ask European Commission to consider if offsetting non-cleared trades could be exempt
EU banks slash default risk estimates for corporates by 30%
Probabilities of default fall on average across 39 countries
Counterparty risk builds at Bank of America, JP Morgan
Higher portion of RWAs attributable to more risky derivatives and repo counterparties
OCC stands by margin model as regulators investigate
As watchdogs probe Q1 breaches, CCP executives insist margin models worked as intended