Counterparty risk
Counterparty risk: credit valuation adjustment variability and value-at-risk
This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.
DTCC default fund contributions shrink 16%
CCP reports 268 clearing members at end-March
Banco Santander’s CVA charge drops 20% in Q1
Three EU G-Sibs cut capital requirements, three increase them
JSCC default funds shrink $1.7 billion in Q1
The CCP reported 281 clearing members at end-March
L&G’s counterparty risk charge almost doubles in two years
Operational and market risk charges also climb at UK group
Eurozone systemic risk diminishes
Yet jumbo exposures to other banks dominate intra-system assets
How leading firms are preparing for the shift from Libor
Driven by declining liquidity in the unsecured interbank lending market, firms face a significant amount of planning in the lead up to 2021. Engrained in the very fabric of financial service providers, there is a warranted degree of uncertainty and…
Top UK banks' CVA charges up 10% in Q1
Barclays' and Standard Chartered's requirements increase over 20% each
Easing of euro OTC trade terms anticipated – ECB
Financial strength of counterparties and competitive pressures could cause easing
StanChart's CVA charge triples year-on-year
Capital requirement hits $112 million at end-March
Revisiting SA-CCR
Berrahoui, Islah and Kenyon propose an alternative to SA-CCR
Under SA-CCR, Nomura leverage exposure drops over ¥7 trillion
Methodology switch sends leverage ratio soaring to 5.04%
Deutsche’s counterparty exposures at odds with capital
Large share of bank’s trades capitalised under internal model method
Central counterparty CVA
Matthias Arnsdorf proposes a method to calculate the counterparty risk related to CCP membership
Counterparty risk climbs at JP Morgan, falls back at rivals
JP Morgan EADs up 10% and CRR RWAs 11% year-on-year
DTCC members add $26bn to default funds in 2018
Clearing house's own contributions dipped $8.5 million last year
Mizuho reveals $270m CVA loss
Further losses may be reported as bank refines its methodology, sources say
Clearing members inject $2.5bn to JSCC default funds in 2018
Higher contributions likely reflect increased exposures at the CCP
CVA and IM: welcome to the machine
Henry-Labordere proposes a neural networks-based technique to price counterparty risk and initial margin
Buy-siders eye ways to get ahead of US resolution stay rules
Come July 1, asset managers will be unable to dump derivatives as a G-Sib is unwound. Lawyers are standing by
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
A tale of two CCPs
Nasdaq and Ice breaches carry warnings for the market
CME trims default fund in Q3
Non-interest rate futures and options default fund reduces by $3.7 billion