Credit risk
Credit portfolio manager of the year: HSBC
HSBC has attempted to improve the accuracy of its credit portfolio economic capital forecasting by extending its model beyond a one-year horizon
In-house system of the year: Royal Bank of Scotland
A 30-fold increase in its computing grid, enabling coverage of 90% of the bank's derivatives business - a two-year overhaul of the counterparty risk framework at Royal Bank of Scotland wins this year's in-house system award
Not too big to fail: Has US crossed bank resolution Rubicon?
Not too big to fail?
EBA: Common credit risk definitions vital
European regulators have overhauled bank reporting standards to ensure comparability, with new Finrep and Corep templates to be rolled out from this month. The latest step has been to agree common definitions for forborne and non-performing exposures…
India private sector banks start signing CSAs
Rising costs and flexible collateral approaches overcome India resistance to CSAs
Bank funding options increased under revised Australian securitisation framework
Increased funding options welcomed in the face of a potential spike in Australia consumer credit growth
Hedge backtesting for model validation
Derivatives pricing and expected exposure models must be backtested as a basic regulatory requirement. But what does this mean exactly, and how can it be used to reserve against model risk? Lee Jackson introduces a general backtesting framework for…
Chinese securitisation market risks fragmentation under current dual framework
The existence of multiple rule books may deter issuers and investors in securitisation
Bank initial margin posting raises liquidation concerns
Initial fears
Cutting Edge introduction: systematic systematic factor models
Credit factor models tend to obscure the economics in favour of tractability – and this puts them at odds with rigorous arbitrage-free martingale pricing methods. To resolve this, quants are looking more closely at what a systematic risk factor actually…
Systematic risk factors redefined
Systematic risk factors redefined
Exposure under systemic impact
Wrong-way risk (WWR) behaves differently for exposures to systemically important counterparties because their default has the potential to move financial markets before the close-out. Michael Pykhtin and Alexander Sokol show how the traditional exposure…
Detroit swaps spark fight between dealers and insurers
Detroit spinners
Exposure under systemic impact
Exposure under systemic impact
Detroit prepares for court hearing on swaps termination
Court will rule on compromise agreement between bankrupt city and swaps counterparties
Danske Bank RWA spat worries modelling experts
Model-bashing