Counterparty risk
EU banks toughen terms for OTC trades – ECB
Credit conditions for SFT and OTC derivatives tightened over past three months
Multifactor granularity adjustments for market and counterparty risks
In this paper, the authors propose several flexible families of models to manage the market and/or the counterparty risk of portfolios of financial assets.
CCAR losses concentrated at four US banks
BAML, Citi, JP Morgan and Wells Fargo account for more than half of total CCAR projected losses
CCAR projected losses top half a trillion
Trading and counterparty losses made up 20% of total predicted losses across participants
CME reports two margin breaches in Q1
Shortfalls totalling $79 million were by far the largest for the CCP since public reporting started in 2015
US CVA charges over seven times higher than EU
Huge disparity appears to result from EU exemption for corporate trades
Reform fails to solve collateral woes in Korea
Korean swaps users wary of collateral reuse, leaving dealers with LCR burden
UBS warns of 6% increase in credit RWAs in 2018
The bank's credit RWAs continue upward trend
A&O vs Linklaters in IM platform race
Law firms are backing rival attempts to cut margin doc costs for buy side
Crédit Agricole hires Varloot from Natixis for risk role
Varloot joins as CIB head of market and counterparty risk
Brexit: banks take the ‘no’ out of novations
Swaps clauses stop end-users blocking counterparty switch, making it easier to move trades to EU affiliates
European legislators to exempt CCPs from new bank rules
Support in Council and Parliament suggests leverage ratio, NSFR exemptions will be in final text
Core-periphery model of bank networks called into question
Researchers find multiple, asymmetric cores in interbank market, posing different systemic risks
Derivatives pricing under bilateral counterparty risk
The authors consider risk-neutral valuation of a contingent claim under bilateral counterparty risk using the well-known reduced-form approach.
Banks say Europe’s CVA proxy-spread plans lack flexibility
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
Buy side unimpressed with Mifid II cost transparency rules
Clients question value of receiving dealers’ swaps profit margin data
World Bank bets on compression for EM currencies
NY-based start-up LMRKTS gets backing to support illiquid markets
Does initial margin eliminate counterparty risk?
Andersen, Pykhtin and Sokol show the existence of residual exposure after initial margin posting
Start-up looks to break swaps clearing bottleneck
Sernova promises everything an FCM can do – apart from taking risk
Swaps play hidden role in UK banks’ ring-fencing plans
UK dealers avoid mass transfers of derivatives
Bank risk manager of the year: SG CIB
Risk Awards 2017: Bespoke stress tests helped navigate Brexit and autocallable pressure
Non-cleared margin requirements: The top five considerations
Sponsored feature: TriOptima
Isda touts CSA standardisation in margining countdown
But scale of challenge becomes clear in early tussles between dealers and clients
Topology matters: why regulators may be missing a trick
Bank networks evolve to be liquid but unstable, new research shows