Exposure at default (EAD)
Swaps, repo counterparties of US banks grew riskier in 2020
At Citi, counterparty credit RWAs for OTC portfolios increased 51%
Citi’s counterparty credit risk edged higher in Q3
Risk-weighted assets for OTC derivatives, repo, margin loans jump 11%
Finding the corporate credit cycle for IFRS 9
Decomposing corporate default rates helps identify credit cycles
Change to risk-weight floor amps EU banks’ securitisation RWAs
BNP Paribas’ banking book securitisation RWAs increased 32% on end-2019
Top US banks’ counterparties’ credit quality deteriorated in Q2
At Citi, exposures with a PD of 10% to 100% increased 73% quarter on quarter
Citi’s counterparty credit risk charge up 38% in Q1
Probability of default of portfolio increases to 0.73% from 0.68%
SA-CCR barely dents Commonwealth Bank’s capital ratio
Twelve basis point hit to CET1 capital ratio exceeds 7bp estimate
SA-CCR may need more fundamental fixes
Quants propose tweaks to improve Basel counterparty credit risk framework
SFT netting trails swaps at big EU banks
Netting wiped €1.5 trillion off nine G-Sibs' swaps exposures
Counterparty risk climbs at JP Morgan, falls back at rivals
JP Morgan EADs up 10% and CRR RWAs 11% year-on-year
Non-netting status denies capital boost for Chinese banks
Reliable close-out netting could cut China’s SA-CCR capital requirements by around 20%
European credit model outputs vary wildly
Risk densities range widely and out-of-sync with average probabilities of default
JP Morgan counterparty credit risk grows
Risk-weighted assets consumed by least-risky counterparties decline from 57% to 36% in two years
Fed, Goldman: wide use of SA-CCR creates problems
Isda AGM: Fed plans quick implementation, while Goldman urges caution on extending use
Rethink urged over Basel’s counterparty exposure framework
Industry calls for softening of SA-CCR amid claims it could lead to doubling of calculated exposures
Risk Chartis Market Report: IFRS 9
Sponsored by Oracle, Moody's Analytics and AxiomSL
Banks battle to preserve ‘good value’ IRB models
Improving credit risk modelling assumptions could soften Basel's push for input floors
Default risk floors threaten €72bn of RWAs in EU
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
Traders shocked by $712m CVA loss at StanChart
Bank’s new methodology has been used by some rivals for more than a decade
Cutting edge introduction: Jumpy wrong-way risk
Quants propose easy approximations for modelling wrong-way risk in CVA frameworks
Fed's Pykhtin: new risk measure less punitive than CEM
Capital benefits also remain intact for modelling banks, says Fed official
5,000 trades: Basel III's magic number squeezes swaps books
There is a magic number in bank capital rules – 5,000 trades – below which portfolios qualify for a lower margin period of risk. Some dealers are now trying to cut their books down to size. Others claim that’s impossible. Joe Rennison reports
Exposure under systemic impact
Exposure under systemic impact