Credit derivatives
Driving a modern operational resilience program
Strengthen your operational resilience processes, meet pertinent regulatory requirements in this space and enhance business continuity practices with the help of high-performance GRC technology
Recovering Greeks from sensitivities
This quantitative paper presents a model-independent method for calculating delta, vega and rho based on a comparison of the sensitivities of any derivative payoff with those of its underlying observables
Hedge funds push for transparency in credit determinations
Proposals include more disclosure around meetings and detailed rulings of credit events
Investment management ‘one analytics view’ for credit bonds and ESG risk factors
A Chartis and MSCI research report that examines how firms must integrate ESG risk analytics with multiple other performance or risk analytics in credit bond portfolios to obtain a meaningful, quantitative and comprehensive investment view
Judge hits pause on CDS auction-rigging lawsuit
Proceedings now wait for New York court ruling on a separate 2015 settlement’s applicability
Finding the investment management ‘one analytics view’
This paper outlines the benefits accruing to buy-side practitioners on the back of generating a single analytics view of their risk and performance metrics across funds, regions and asset classes.
Bank balancing: optimising margin and capital in a higher-rate environment
This Risk.net paper, which features leading practitioner insights, assesses the challenges banks are facing in the new higher rate environment and the strategies and tools they are using to optimise margin and capital on their derivatives portfolios.
UK tiptoes away from Europe on bank CDS transparency
Only a small number of instruments are affected, but some worry it will distort competition
How to account for banks’ contribution to CO2 emissions
Price adjustments will depend on individual counterparties’ carbon footprints
US funds add to single-name CDS positions
Counterparty Radar: Corporate positions exceed SSA contracts for first time on record in Q2
The importance of data-driven decision-making in Apac
Embracing data-driven decision-making enabled by digital technologies is crucial for the success of lending institutions in Apac
US banks ditch IR futures as appetite for swaps booms
Notional for futures craters 19% in Q2, hitting lowest in at least seven years
Apac banks put trust in pre‑trade
Amid tougher trading conditions, Apac banks are making greater use of pre‑trade analytics to inform their strategies and reduce risk. But how successful are these tools?
Vue gives private credit another reason to shun CDSs
Lenders prefer to hold risk themselves and recent issues suggest incompatibility with private markets
Talking Heads 2023: A turf war in credit markets
Banks are looking to reclaim territory they previously ceded to market-makers and private funds
Navigating IFRS 9: strategies for effective implementation and moving beyond
There has been a constant change within the landscape of financial reporting, and IFRS 9 has been proven to be a critical component.
RBC’s credit derivatives book grows fourfold on market-making push
Notionals of credit protection sold and purchased have ballooned 236% and 382% respectively since October 2022
Using emerging technologies to improve the risk management function
This white paper discusses why capital markets firms need access to the most innovative technologies, real-time analytics, and timely and accurate data for better and faster decision-making in the risk function.
Adapting to economic uncertainty: internal audit’s journey
In this report, internal auditors in different sectors have shared their experiences and strategies, providing valuable insights for others facing similar challenges
Citi is building a central risk book for credit
Talking Heads 2023: Putting CDSs, ETFs and bonds into the same pot will result in better pricing, says credit head Bhatia
Why credit default committees are a turnoff for the buy side
With high costs and little to gain from participating, investment firms seem content to leave the legal work to the banks
The changing face of credit portfolio management at banks
Faced with huge increases in capital charges in the coming months, banks will turn to credit portfolio management to support business decisions on origination, capital allocation and risk transfer
Credit Suisse CDS blip spotlights obligations list overhaul
Isda began work on updating reference instruments before banking crisis erupted
For the capital markets, every risk playbook needs to implement these six themes
This white paper outlines six risk management themes that we think should be a part of any risk playbook and which can serve financial institutions well in preparation for the uncertain future that lies ahead.