Credit derivatives
Integrating ECL onto a stress-testing platform: portfolio composition
How to grow a portfolio that is internally consistent with a stress scenario
Capital Group, BMR double down on bought index CDSs
Counterparty Radar: Market for US mutual funds contracts in Q4 for the first time in eight quarters
Decrypting crypto: understanding the requirements for successful institutional participation
Part 2 of this new white paper series continues to explore the adoption of cryptocurrencies within institutional markets.
Credit Suisse CDSs offer no reprieve for AT1 losses
Legal experts pore over credit definitions after AT1 writedown
ESG strategies special report
This Risk.net special report sponsored by SAS features a series of articles that reflect on the latest initiatives for consistent standardised global frameworks for measuring ESG, consider the methodologies investors are using to make measurable progress…
Vue CDS triggered, but payout showtime still in doubt
Lack of public debt information raises more questions about credit event determinations
Integrating ECL onto a stress-testing platform: credit risk characteristics
How credit loss in the ECL process can leverage changes in the credit risk profile of a portfolio during a stress scenario
Integrating ECL onto a stress-testing platform: scenarios
Strategies for producing stress-testing ECL values that comply with IFRS 9, as well as CECL standards
Reading between the fines: a deep dive into financial institution penalties in 2022
Fenergo’s latest research report on financial institution penalties in 2022 is available now. Key analysis shows that fine values in Apac were just 0.77% of what they were in 2021
Credit derivatives house of the year: Barclays
Risk Awards 2023: Attention to detail set bank apart from competition during volatile year
Ice Clear Credit may face Esma review as euro CDSs migrate to US
Upgrade in systemic status would depend on extent of migration from UK-based Ice Clear Europe
LCH scoops up Ice Clear Europe’s CDS clients
“A sizeable majority” of European CDS users are shifting their business to CDSClear in Paris
Capital Group, Pimco lead tilt to bought index CDSs
Counterparty Radar: US mutual funds added $7.8bn of bought protection, growing sector to $169bn in Q3
PGIM pares back long-bond options bets
Counterparty Radar: Barclays benefits from manager’s Q3 portfolio changes
Complying with climate risk framework standards for streamlined processes
Conscious that climate change affects all sectors of the economy, financial institutions are realising the significant impact this will have on their customers and, ultimately, their own profit margins.
CDSs seek role in green transition
Despite slow start, fans insist iTraxx ESG index can aid green push
Credit risk, data and AI: managing spiralling demands and delivering value
Based on a comprehensive survey of, and conversations with, credit risk professionals globally, this report delves into their challenges they face in trying to source and use forward-looking data.
GFMA mulls FX determinations committee
Creation of CDS-style board is one option on the table for managing forex market disruption events
Podcast: Leveraging real‑time data feeds for faster business decisions
The markets have been on a very volatile ride in 2022, which makes low-latency data more crucial to the business
Credit Suisse’s new markets strategy builds on the old one
GTS is scrapped, but blueprint of connecting wealth management to markets remains intact
Pimco dumps credit options as US funds slim holdings
Counterparty Radar: Space shrinks 30% in Q2 following three consecutive quarters of growth
Decision science: from automation to optimisation
Despite its benefits, credit decisioning is severely lagging – average ‘time to decision’ for small business and corporate lending at traditional banks is between three and five weeks, while average ‘time to cash’ is nearly three months
PGIM increases credit hedges as funds add bought index CDSs
Counterparty Radar: Morgan Stanley added market share, but Goldman stayed top among dealers
Leading Mexican bank Banorte strengthens credit risk management practices
Leading Mexican bank Banorte strengthens credit risk management practices building a completely new XVA desk and revamps its PFE limits management