Counterparty risk
Dissecting initial margin forecasts: models, limitations and backtesting
The authors demonstrate that initial margin is not value-at-risk, but its approximation, and suggest a generic backtesting and verification framework that accommodates both forecasting limitations and existing models.
UniCredit slashes CCP exposures by nearly 40% in a year
Lower exposures at default for exchange-traded derivatives the main driver behind overall drop
Backtesting correlated quantities
A technique to decorrelate samples and reach higher discriminatory power is presented
Counterparty risk innovation of the year: Cumulus9
Cumulus9 proved standout vendor by bringing inventive solutions to the market, securing the award for Counterparty risk innovation of the year at the Risk Technology Awards 2024
The post-Archegos risk model rebuild begins… slowly
Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort
Thames Water: a handy guide for worried counterparties
The UK’s largest water company – now junk-rated – has £1.3bn in swaps liabilities. Dealers ought to be safe, but face a host of headaches and questions
Margin calls jumped threefold as global markets sold off
FCMs claim no client defaults, but episode revives complaints of procyclical margining
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
More data urged for effective counterparty credit risk management
Disclosure of client positions may not be commercially realistic, expert warns
RBC’s CVA capital charge up 22% since FRTB adoption
Bank eschewed revised standardised approach in favour of simpler yet constraining formulas
Cleared rate for CDSs dropped in H2 2023
Record five-percentage point decline driven by multi-name contracts
Brazil readies long-dated FX hedging scheme for green projects
Development bank IDB will lend its credit rating to unlock cheaper USD/BRL hedges out to 25 years
Bank credit risk: how well do you know your counterparties?
As financial markets evolve, evaluating the complex credit risk exposures of non-bank counterparties is crucial for effective risk management, says Quantifi’s Dmitry Pugachevsky
Energy credit optimisers vie to become headline act
Competing initiatives may dilute ‘network effect’ as race to fill void left by TP Icap intensifies
Cleared US repos hit record high as MMFs wean off Fed
Deflating tri-party volumes coincide with FICC DVP trades’ climb to $2tn
US dealers’ leverage adequacy hits two-year high on repo compression
Lower repo exposures freed up capacity for derivatives and off-balance sheet items in third quarter
CFTC sounds the alarm on clearing capacity
US regulator warns porting cannot be guaranteed in the event of a large member default
Crypto ECNs aim to offer alternative to Clobs
CrossX and Cypator bring ECN-style trading and settlement to crypto, but rivals claim infrastructure isn’t ready
On-chain FX’s brave new world excites some, worries others
Trading tokenised versions of currencies on blockchain could slash settlement risk but sceptics raise concerns over liquidity and pricing
Op risk data: UBS lands $380m Archegos loss
Also: BofA billed for bilking customers; red faces over Deutsche greenwashing. Data by ORX News