Counterparty Radar: Pimco, Western AM push protection selling to new high, as buying dips
Counterparty Radar: Top three managers account for 75% of positions – but only Pimco sells protection on the US
Counterparty Radar: Pimco’s sold positions surge 80%, as PGIM and others retreat
FCMs claim proposal gave clearing house too much power in customer defaults
New step in the default management process would enhance transparency in hedge provider selection
Lenders with lower CET1 ratios and weaker returns could face more credit defaults from global warming
Exposures classified as stage two rose 37% in the first three months of 2021
Risk framework under external review as DOJ reportedly opens probe into fund’s collapse
IRS service experienced the largest breach last year
Required IM at Ice Clear US increased 42% year on year
Weighted average corporate borrower PD across countries climbed to 2.15%
Required IM for SwapClear dropped to £149.5 billion, down 3% quarter on quarter
Equity derivatives service witnessed 1,782 breaches last year alone
Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Under some assumptions, the valuation of financial derivatives, including a value adjustment to account for default risk (the so-called XVA), gives rise to a nonlinear partial differential equation (PDE). The authors propose numerical methods for…
Research on listed companies’ credit ratings, considering classification performance and interpretability
This study uses the correlation coefficient and F-test to select the initial features of a credit evaluation system, and then a validity index for a second selection to ensure that the feature system has the optimum ability to discriminate in determining…
Swedish regulator’s fine poses serious questions over default management and margining, while providing few answers
Determination of weights for an optimal credit rating model based on default and nondefault distance maximization
This study proposes a credit rating model that accurately identifies default and nondefault companies by maximizing intergroup credit score deviations and minimizing intragroup deviations.
The economics of debt collection, with attention to the issue of salience of collections at the time credit is granted
This paper considers the role of policies that protect consumers from aggressive debt collection tactics.
Total collateral held remains elevated compared to pre-coronavirus crisis
The author assesses the quantitative effects of the recent proposal for more robust bank capital adequacy.
A capital valuation adjustment designed to preserve a firm’s value to shareholders is introduced
This work generalizes existing one- and two-dimensional pricing formulas with an equal number of barriers to a setting of n dimensions and up to two barriers in the presence of stochastic volatility.
Lenders could suffer if government support for small business starts to wane
Danske Bank, Crédit Agricole, Group BPCE lead the field