Counterparty risk
Vanguard eyes DLT for FX forwards after smart contract success
Fund giant hopes roll-out of tech in 2022 will deliver greater efficiency and pricing benefits
Buy-side traders start to cool on ESG-deficient dealers
Managers adopting ESG metrics in counterparty evaluations may exclude dealers that aren’t up to scratch
Review of 2021: Default, revolt, reform
Archegos, GameStop, the last days of Libor – markets just about coped in a bleak and disorderly year
UK banks’ RWAs return to growth
Latest Bank of England data shows first increase since Q1, 2020
SA-CCR brings little succour for FX dealers and clients
Spreads on swaps and forwards likely to widen as banks adjust to capital-intensive regime
XVAs and counterparty credit risk for energy markets: addressing the challenges and unravelling complexity
In this webinar, a panel of quantitative researchers and risk practitioners from banks, energy firms and a software vendor discuss practical challenges in the modelling and risk management of XVAs and CCR in the energy markets, and how to overcome them.
Copping out on climate change: buy-side risk survey
Only 9% say front-line staff have climate role today – specialists call for better metrics and link to pay
StanChart’s CVA charge up 19% in Q2
Higher capital requirements also at Barclays, Lloyds and NatWest, with HSBC the only outlier among top UK banks
EU banks aim to block new counterparty risk guidance
Requirement to include exposure spikes linked to swap payments within EEPE models prompts blowback
PBs get new help in war on generosity
Big FX venue operators offer way to reduce overallocation of credit
Basel III standardised credit risk assessment – What you need to know
Basel III updates take a more sensitive approach to calculating risk weightings and capital charges. Paul Whitmore, global head of counterparty risk solutions at Fitch Solutions, explains how credit risk professionals can prepare
Fed stress test: JP Morgan would bear brunt of losses
Dealer’s giant loan portfolio hit the hardest among 23 participating banks
JSCC issued $2.8bn VM call on a clearing member in Q1
The call was for a participant in the CCP’s clearing services that cover IRS, CDS and exchange-traded financial products
Turning challenges into solutions
With margin requirements a potential drain on financial resources, delivering healthy returns while meeting regulatory obligations is paramount. To help participants optimise more of their risk, Varqa Abyaneh, chief product officer, Quantile, discusses…
The trade-off between liquidity risk and counterparty risk in money market networks
The authors examine how liquidity is exchanged in different types of Colombian money market networks (ie, secured, unsecured and the central bank’s repurchase networks) as registered in the local financial market infrastructure.
ECB’s models review heaped €275bn of extra RWAs on banks
Average bank CET1 capital ratio fell 71bp through Trim process
A look at future exposures, through a 19th century lens
Can a centenarian maths idea speed up the calculation of forward sensitivities?
At Canada’s ‘Big Five’, counterparty and op RWAs grew in 2020
Credit, market RWAs ebbed over the year
EU banks expect OTC trading conditions to tighten
Credit conditions had eased in Q3 and Q4 2020, but were expected to get tougher in Q1
Swaps, repo counterparties of US banks grew riskier in 2020
At Citi, counterparty credit RWAs for OTC portfolios increased 51%
Ailing loans added $15bn to StanChart’s RWAs in 2020
Effects of credit deterioration offset by disposals, portfolio reductions
Derivatives house of the year: Citi
Risk Awards 2021: digital bets and customer-centric model paid off during pandemic
The slow corporate embrace of CSAs
Risk.net research finds 28 of 50 large companies now have CSAs – but has the trend run its course?
CVA charges concentrated among top banks in Europe
Crédit Agricole, Deutsche Bank, Barclays, Commerzbank and Societe Generale account for 31% of total CVA across 135 banks