Wrong-way risk (WWR)
Banks must close the loop on counterparty credit risk
Following a series of market and industry credit risk events, regulatory scrutiny of counterparty credit risk management practices is increasing. Now, more than ever, banks must ensure they are optimising their approaches to credit risk mitigation
More data urged for effective counterparty credit risk management
Disclosure of client positions may not be commercially realistic, expert warns
Fed strengthens stress tests with focus on counterparty defaults
The Fed's 2024 stress test examines how banks handle complex risks, such as WWR and jumps at default. Dmitry Pugachevsky, head of research at Quantifi, discusses how the integration of these factors into XVA calculations provides a more comprehensive…
Weighting for leverage
A credit exposure model for leveraged collateralised counterparties is presented
US large bank CRE risks could be understated, say researchers
Community banks have the most direct exposure, but systemic banks extend more credit to REITs
Basel triggers new tussle on anti-Archegos rules
Critics argue new guidelines on counterparty credit risk are either unworkable, or don’t go far enough to tackle concentration and wrong-way risk
Should the ECB stress-test counterparty default risks?
The US Fed already does, but it is notable that EU banks were less exposed to Archegos
Fed unveils hyper-Archegos test to reveal bank blow-up risks
CCAR for 2024 includes analysis of simultaneous defaults of five largest hedge fund clients
Fears of runaway risk on offshore reinsurance
Life insurers catch the eye of UK regulator for pension buyout financing trick
CVA swap: a new type of capital relief trade
Dmitry Pugachevsky, Quantifi, discusses the emergence of the CVA swaps market
Evaluating credit valuation adjustment with wrong-way risk for Bermudan options
The authors propose a method for credit valuation adjustment evaluation that avoids the need for simulation while maintaining efficiency and accuracy.
Leveraged wrong-way risk
A model to assess the exposure to leveraged and collateralised counterparties is presented
Roll up for the BoE’s counterparty mystery tour
Letter warns of cross-currency repo risks, but they didn’t feature in Archegos or LDI blow-ups
ECB zeroes in on wrong-way risk as a key lesson of Archegos
Counterparty risk experts agree with focus on “long-neglected” topic after family office default
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
Podcast: the right way to wrong-way risk and climate risk in XVA
MUFG quant thinks outside the box on risk management
Data-driven wrong-way risk
A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced
Major lender hikes borrowing costs as crypto flounders
Brokers warn crypto market faces a reckoning with wrong-way risk as lenders rush to tighten terms
Risk management is not a job for compliance
Credit Suisse losses show why boards require real risk management expertise, says ex-BoE supervisor
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…
Quantifying systemic risk using Bayesian networks
Creditworthiness of individual entities may offer an insight into systemic risk of financial markets