Collateralisation
The bald truth about collateral haircut modelling
HSBC’s Wujiang Lou says parametric modelling of haircuts has many advantages over historical VAR
Does initial margin eliminate counterparty risk?
Andersen, Pykhtin and Sokol show the existence of residual exposure after initial margin posting
Inflation derivatives house of the year: HSBC
Risk Awards 2017: Clearing, CSAs, CLNs, novations – UK bank's inflation business gets lean
Rethinking the margin period of risk
The authors describe a new framework for modeling collateralized exposure under an International Swaps and Derivatives Association Master Agreement with a Credit Support Annex.
Dependence on collateral raises vital research questions
Areas of focus should include collateral supply, reuse and circulation
BoE researchers outline risk of collateral collapse
In stress periods, collateral chains could break, paper warns
Crying wolf on CVA?
Standardised approach will hit corporates – but it's not clear that capital will jump
Banks work together in effort to reduce XVA costs
Dealers offer rewards to clients and rivals for help in cutting valuation adjustments
Bail-in divisions put bank swap ratings in doubt
Europe's fragmented resolution rules threaten Moody's framework
FVA – what's wrong, and how to fix it
Albanese and Andersen elaborate on controversial Risk article
‘Smart’ derivatives can cure XVA headaches
Cryptocurrency technology could revolutionise derivatives valuation and collateralisation, say Massimo Morini and Robert Sams
Corporates use XVA caps to limit unwind charges
Veolia caps CVA and FVA unwind costs in trades with 10 banks
Intra-group margin will ‘stifle’ internal hedging, banks warn
Additional costs for end-users if no exemption granted
Courting the AIIB: dealers eye development bank “goodies”
Beijing-based supranational expected to be heavy swaps user
Dealers fear mix-and-match margining for cross-border swaps
National conflicts in margin rules can only be fixed via mutual recognition
US regulator asks banks for FVA information
OCC requests info on funding spreads, model validation and more
Moody's swaps bail-in bet splits banks and buy side
Asset managers wary of assumptions that make swap counterparts look stronger
Regulators sound warning on collateral squeeze
Report calls on regulators to fix “structural and regulatory limitations” around collateral
Small banks underpricing FVA, dealers claim
Dealers claim to be losing trades because smaller rivals are mispricing
Trade of the month: Multi-issuer structured products
The pros and cons of obtaining diversification through multiple counterparties
Systemic risks in the market on the rise, says Iosco economist
Shane Worner, senior economist at Iosco, warns of excessive leverage in the system
SG offers hedge fund strategies in new LSE-listed ETN
Hinde Capital long-short strategy at the heart of new LSE-listed ETN
German debt office poised to collateralise swaps
Pending 2014 budget would allow Finanzagentur to post up to €8 billion in collateral
Risk management system of the year (bank): Barclays
Hedge fund clients of Barclays can use the bank's own margin calculator to construct their portfolios - while the bank uses it to manage net counterparty exposures. Both sides benefit