Counterparty credit risk
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
UBS warns of $6.5bn jump in credit RWAs in Q1
Credit and counterparty RWAs stood at $147.9 billion at end-2018, up $1.6 billion from the third quarter
Podcast: Kenyon and Berrahoui on the pitfalls of PFE
Quants propose replacement to existing credit risk measure
Does credit risk need an expected shortfall-style revamp?
Quants propose tail risk-sensitive measure for counterparty credit risk
Counterparty trading limits revisited: from PFE to PFL
The potential future loss is proposed as a replacement for PFE
Non-netting status denies capital boost for Chinese banks
Reliable close-out netting could cut China’s SA-CCR capital requirements by around 20%
Fall in market risk prods UK bank RWAs lower
Total RWAs amounted to £2.9 trillion at end-September
JP Morgan’s CVA charge jumps $203m in Q3
Median CVA capital charge for US G-Sibs was $2.1bn in third quarter
ING reaps third-quarter CVA capital savings
Intesa and Caixabank also see CVA charges decline
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
Evaluating the credit exposure of interest rate derivatives under the real-world measure
This paper examines the credit exposure evaluation properties of interest rate derivatives to manage counterparty credit risk, working with the real-world probability.
Risk Markets Technology Awards 2019: Vendors enter the pick-and-mix era
Modular tech and micro-services – plus new risk and regulatory needs – are creating openings for insurgents and incumbents
Energy Risk Asia Awards 2018: The winners
BNP Paribas takes Derivatives house, BP wins Oil & products and BOCI and Engie scoop two awards each
Derivatives house of the year, Asia: BNP Paribas
Energy Risk Asia awards, 2018: BNP Paribas continues to boost its presence in Asian commodities with a focus on bespoke solutions
Best newcomer, Asia: CubeLogic
Energy Risk Asia awards, 2018: Enterprise risk management software firm brings new tools to Asia market, particularly around credit
Obstacles and opportunities in adopting cloud computing
Sponsored Q&A
Climate risk rising up agenda for lenders
Reliable measures still some way off, banks admit
UK regulator quizzes banks on margin gaps
Request for ‘risks-not-in-Simm’ data could usher in new Pillar 2 capital charge
Counterparty credit exposure won't spark the next Lehman
Curbing of riskiest exposures and shedding of assets means banks in far better shape 10 years on
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
Counterparty risk builds at Bank of America, JP Morgan
Higher portion of RWAs attributable to more risky derivatives and repo counterparties
CVA gain bolsters JP Morgan trading revenues
$302 million of first half trading revenues attributed to credit valuation adjustment
Switch to internal model helps HSBC cut counterparty risk by 18%
HSBC cut counterparty credit risk-weighted assets by 18% – $10.4 billion – in the second quarter
Banks still face risk of Fed disapproval on exposure limits
Rules loosened on affiliated counterparties, but supervisor can reject banks’ findings