Counterparty risk
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
Citi’s counterparty credit risk charge up 38% in Q1
Probability of default of portfolio increases to 0.73% from 0.68%
CVA, market RWAs more than double at UBS in Q1
Overall risk-weighted assets increased 10% on end-2019
Foreign banks’ EM exposure could spiral as Covid-19 bites – BIS
Activation of credit lines and guarantees could cause exposures to leap 26%
Counterparty credit risk – Why data is only valuable in context
Paul Whitmore, global head of counterparty risk solutions at Fitch Solutions, explains how qualitative data can add colour and insight to quantitative metrics for assessing the creditworthiness of counterparty banks
A sensitivity analysis of the alpha factor
In this paper, we investigate the alpha factor’s sensitivity to key model parameters under stylized portfolio assumptions in order to better understand its complex characteristics. Our analysis is based on the numerical simulation of alpha sensitivities…
Credit risk – Building on a foundation of quality data
Credit risk analysts at emerging market banks not only need high-quality data, but also the necessary tools to manage it. Improving consistency and reducing the risk of errors in credit risk data create more time to concentrate on the core activity of…
Transforming trading, risk and operations
Capital markets technology firm, Murex, enjoyed outstanding success in the Risk Awards 2020. Amid fierce competition, the firm was named technology vendor of the year, and picked up a further five gongs in the Risk Markets Technology Awards
Equity, Treasury collateral builds up at US G-Sibs
Fair value of equity collateral rises 19% year-on-year
Smart derivative contracts: detaching transactions from counterparty credit risk
Introducing deterministic termination rules to eliminate counterparty risk in smart derivatives
Citi shed over $32bn of counterparty exposures in Q4
Risk-weighted assets for CCR exposures dropped -12%
Quantifying systemic risk using Bayesian networks
Creditworthiness of individual entities may offer an insight into systemic risk of financial markets
Clearing members in cash clash with Apac CCPs
Banks and clearing houses wrangle over who should pay for losses on invested collateral
Credit risk – The bank data challenge in frontier markets
As the regulatory net tightens, banks working in and across frontier regions are under pressure to source and maintain more accurate data in the assessment of counterparty credit risk, but some are investing in tools to tackle the problem
Fed’s stress tests to gauge banks’ leveraged loan risks
CLOs to suffer “severe corrections” under 2020 scenario
Signing the Libor fallback protocol: a cautionary tale
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
Ties between banks and non-banks at pre-crisis levels – FSB
Other financial intermediaries grow share of total financial assets to 30.5% in 2017
One bad apple: default risk at CCPs
One clearing member's disproportionately large position increases the credit risk for all CCP members
The homotopy analysis method for derivatives pricing under wrong-way risk
Derivatives pricing is approximated with a computationally efficient homotopy-based application that accounts for WWR
Santander’s CVA charge up 15% in Q3
Other eurozone G-Sibs see their CVA requirements fall
JSCC issued ¥486bn VM call in Q3
Estimated largest payment obligation sized at ¥620 billion
At US G-Sibs, swap exposures to corporates climb $43bn in Q3
BofA Securities’ exposures to hedge funds plummets following spike in Q1
StanChart’s CVA charge jumps 39% in Q3
CVA accounts for an ever-increasing portion of the bank’s total counterparty credit risk
Citi’s counterparty credit RWAs surge 12% in Q3
Bank has increased OTC derivatives exposures 15% year-to-date and repo exposures by 37%