Jump to default
Is the Netherlands the EU’s main source of counterparty risk?
Experts surprised by results of exploratory scenario in 2025 ECB stress-test
How to model potential exposure, post-Archegos
BofA quant’s model considers the correlation between market shocks and counterparty defaults
LCH to cut jump-to-default margin for cleared CDS
Move could bring margin for cleared CDS closer to bilateral trades, but mismatch remains
Jumping with default: wrong-way risk modelling for CVA
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk
SEC’s Piwowar doubts CCPs should clear some instruments
Concern that historical price series volatility will not reflect jump-to-default risk
Basel cuts credit spread charge from banking book work
Charge was felt to be "too difficult to capture" without complex rules
Credit goes to forward rate spreads
Term structure of interest rates explained with a credit model
Risk Annual Summit: DVA hedging creates systemic risk, says Brigo
King's College professor of finance Damiano Brigo says regulators should clamp down on dealers looking to hedge debit value adjustment gains by selling CDS protection on closely correlated names