Standardised approach to counterparty credit risk (SA-CCR)
Half of European banks already embed FRTB into XVA pricing
US and rest of world lag Europe in incorporation of Basel capital rules into XVA calculations, Risk Benchmarking analysis shows
The WWR in the tail: a Monte Carlo framework for CCR stress testing
A methodology to compute stressed exposures based on a Gaussian copula and mixture distributions is introduced
No need for repo clearing ‘cannon’ in Europe, says industry
Observers question rationale for a clearing mandate, calling for clearer incentives
Basel tweak may weaken counterparty hedging, industry warns
Proposed technical revision risks dissuading bespoke CDSs and guarantees covering derivatives exposures
CRR III hangs in the balance as member states push for changes
Top EU lawmaker rejects calls to water down capital rules, while others see room for manoeuvre
EU banks show basic instinct for credit valuation adjustments
Simpler approach to CVA appeals even to some already using more complex models for counterparty risk
Basel stops short on wrong-way risk
New guidelines a step in right direction, but experts warn they won’t prevent another Archegos
Bridging the gap risk reloaded: modelling wrong-way risk and leverage
A model extends the counterparty risk calculation to include nonlinear and complex portfolios
ABN Amro takes €1.7bn RWA add-on from credit models rejig
Just over 40% of credit risk RWAs still calculated under the A-IRB approach, down from 90% two years ago
As FCMs dwindle, regulators fear systemic risk
Panellists highlight dangers of clearing membership becoming more concentrated
Standardised FRTB leaves banks befuddled on residual risk
Benchmarking exercises find “weak consensus” among banks over notional values for exotics