Counterparty risk
Applied risk management series: Counterparty risk exposure metrics
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
Cutting Edge introduction: Taming MVA
Lloyds quants tackle computation of margin add-on for derivatives prices
Goodbye Sonia flat: banks rethink swaps with bond collateral
Higher discount rate can cut payouts to in-the-money clients by millions
T2S is right on target
Sponsored forum: Sibos 2014
Looking back: Lehman stirs credit and liquidity risk fears
Counterparty concerns could lead to increased use of clearing
Risk managers should learn from the mistakes of others
Early warning signs can provide vital clues to firms with ‘feet of clay’
Banks have done too little, for too long on counterparty data
Regulators recently published the findings of a study of counterparty risk data at the world’s largest banks – it makes for depressing reading, says David Rowe, and is symptomatic of deeper problems plaguing the field of enterprise risk management.
In-house system of the year: Royal Bank of Scotland
A 30-fold increase in its computing grid, enabling coverage of 90% of the bank's derivatives business - a two-year overhaul of the counterparty risk framework at Royal Bank of Scotland wins this year's in-house system award
Bank initial margin posting raises liquidation concerns
Initial fears
Systematic risk factors redefined
Systematic risk factors redefined
The law of one price is gone
Sponsored statement: Absa
Detroit swaps spark fight between dealers and insurers
Detroit spinners
Exposure under systemic impact
Exposure under systemic impact
Detroit prepares for court hearing on swaps termination
Court will rule on compromise agreement between bankrupt city and swaps counterparties
Hedge funds benefit from lower prime broker fees
Hedge funds can lock in favourable rates for prime brokerage services as competition forces banks to rethink pricing, says former BlackRock managing director David Geffen who now runs a consultancy
Risk Espana rankings 2013
Spanish fiesta turns cold
Hedge funds favour collaborative outsourcing
Collaborative approach
Legal clouds hang over RWA-driven netting push
New capital requirements are making it more difficult for banks to trade with counterparties that are not covered by a netting opinion. That is spurring attempts to expand coverage, but can leave banks and lawyers on uncertain ground. By Lukas Becker
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach focuses more on the centre of the distribution. This…
Basel Committee seeks netting-friendly replacement for CEM
Consultation on alternative to much-criticised current exposure method could start in June