Counterparty credit risk
Why was Archegos worse than the Fed’s five-fund stress test?
Some believe Credit Suisse was an outlier, but others say the CCAR results underestimated risks
Trading losses cancel out Goldman’s revenue in 2024 stress test
Bank hit hardest among those tested for market shock and counterparty default
Counterparty risk model links defaults to portfolio values
Fed’s Michael Pykhtin proposes using copula models to capture effects of margin calls on default risk
More data urged for effective counterparty credit risk management
Disclosure of client positions may not be commercially realistic, expert warns
Banks look to offload ‘orphan’ hedge risk
Bespoke CDSs shift private credit borrowers’ derivatives default exposures back to the buy side
Weighting for leverage
A credit exposure model for leveraged collateralised counterparties is presented
RBC’s CVA capital charge up 22% since FRTB adoption
Bank eschewed revised standardised approach in favour of simpler yet constraining formulas
Japanese banks far apart on credit model efficiency under Basel III
MUFG lowered credit and CCR charges the most among country’s top dealers
New real estate model adds €14bn to Rabobank RWAs
CET1 ratio down 1.2pp as capital stays flat
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
Hwang trial exposes flaws in verbal information handling
Court shown discrepancies in audio and email records; Credit Suisse insider says “fair amount” of intel slipped through cracks
Japanese banks reap ¥9trn RWA savings from FRTB switch
Tokyo’s dealers fare better than overseas rivals on new CVA and market risk approaches
Basel triggers new tussle on anti-Archegos rules
Critics argue new guidelines on counterparty credit risk are either unworkable, or don’t go far enough to tackle concentration and wrong-way risk
Did Fed’s stress capital buffer blunt CCAR?
Experts fear flagship test’s use as a capital top-up has undermined its role in risk management
Should the ECB stress-test counterparty default risks?
The US Fed already does, but it is notable that EU banks were less exposed to Archegos
Energy credit optimisers vie to become headline act
Competing initiatives may dilute ‘network effect’ as race to fill void left by TP Icap intensifies
Canada’s top dealers boost derivatives clearing as FRTB kicks in
BMO, RBC and TD Bank cleared record C$45.1 trillion in notionals in Q1
Tradition links up with Komgo for energy credit optimisation
New partnership is one of four initiatives competing for dominance in wake of 2022 gas price spike
ECB raised Pillar 2 charges for just three CRE-heavy banks in latest SREP
Pfandbriefbank and Luminor saw largest increases across 106 banks subject to 2023 assessment
Fed unveils hyper-Archegos test to reveal bank blow-up risks
CCAR for 2024 includes analysis of simultaneous defaults of five largest hedge fund clients
Cleared US repos hit record high as MMFs wean off Fed
Deflating tri-party volumes coincide with FICC DVP trades’ climb to $2tn