Counterparty credit risk
Managing CCR to reduce the all-in cost of OTC derivatives portfolios
Erik Petri, head of triBalance at OSTTRA, explores how counterparty credit risk (CCR) compounds the costs of trading over-the-counter (OTC) derivatives and the maintenance of derivatives portfolios, examining the nuances of OTC credit risk management,…
Archegos revives Lehman-era trade booking controversy
Experts debate whether defaulted TRS positions should have become house exposures immediately
BNP Paribas’ CVA capital charge hits record high
Risk-weighted assets for potential drop in value of derivatives instruments reached €6bn in June
European banks can’t escape SA-CCR hit, warns FX exec
Although not yet directly affected, EU dealers may feel regulation’s impact, says Goldman’s Wilkins
Project finance risk methodologies
Federico Tacchetto, senior manager at Prometeia, describes how to calculate risk parameters for project finance exposures. Based on a simulation approach of the cashflows, it is assessed whether the generated net revenue will be sufficient to repay the…
Late EU clearing house recognition spooks dealers
Bank capital requirements on exposures to affected foreign CCPs could jump after June 28 deadline
How will US regulators perform the Basel III balancing act?
Largest banks seek offsets for higher capital requirements caused by possible end of IRB, IMM
Standard risk measures low-balled Archegos exposures
When a potential blow-up doesn’t show up, what use are VAR, SA-CCR and stress tests?
Credit risk capital models hanging by a thread in the US
Industry insiders expect Fed to drop IRB and IMM when adopting Basel III, but market risk models may survive
Is Citi’s SA-CCR hit a sign of things to come?
Higher capital costs for dealing in uncollateralised FX swaps and forwards could impact banks and clients alike
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
BNP Paribas notches three VAR breaches in Q1
Latest count puts bank on cusp of capital penalty
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
How to model potential exposure, post-Archegos
BofA quant’s model considers the correlation between market shocks and counterparty defaults
Nordea’s CVA charge jumps 30% in Q1
Highest reading for the Finnish bank since the start of 2019
UBS settlement risk up 238% as sanctions snag Russia trades
Held-up and failed counterparty transactions add almost $1bn to RWAs
SA-CCR hits Citi’s FX forwards pricing
Four clients say US bank has quoted “less competitive” spreads as a result of new capital regime
Mind the gap
A default intensity model reveals the risk carried by a highly leveraged counterparty
EU banks decry threat of capital hit to UK CCP exposures
EBA says supervisors could apply charges to “excessive exposures” of euro derivatives at all non-EU clearing houses
Citi’s share of cleared swaps hits new high
Latest quarterly increase, alongside that of Goldman Sachs, bucks trend across top US banks
Norway oil fund’s derivatives book balloons 192% in H2 2021
Sovereign wealth fund GPFG piled up FX and IR contracts and tapped CDS for the first time
Banks offer crypto clearing but, shhh, don’t tell
Top dealers clear crypto futures for select clients despite smorgasbord of risks
Estimating future value-at-risk from value samples, and applications to future initial margin
This paper discusses several methods to estimate fVaR or margin requirements and their expected time evolution, from simple options to more complex interest swaps.