Counterparty risk
Asset managers lead the charge for voluntary clearing
Voluntary clearing volumes jump 80% as non-cleared margin rules take effect
CVA models may miss half of true default risk
Benefits of initial margin also overstated, new research finds
Why not having AAD needn’t be the end of the world
Optimisation method offers quicker and more focused way of making XVA calculations
Indecent exposure: Fed limits threaten swaps liquidity
Unworkable due diligence rules may prompt G-Sibs to cut single counterparty exposures below 5%
Credit risk in energy: Best practices for challenging times
Sponsored webinar: Moody's Analytics
CVA desks suffer Brexit double whammy
Cross-gamma losses estimated at more than $25m for each dealer
A bond consistent derivative fair value
This paper presents a rigorously motivated pricing equation for derivatives.
Basel CVA bombshell widens gulf with bank accounting
Dealers face conflicting incentives and capital hike after internal models are blown away
Traders shocked by $712m CVA loss at StanChart
Bank’s new methodology has been used by some rivals for more than a decade
Contingent credit default swaps: accurate and approximate pricing
This paper analyzes the pricing of contingent credit default swaps.
EBA lacks mandate for new CVA push, critics claim
Move to hike counterparty risk capital has corporate treasurers ‘fuming’
Risk analytics head Canabarro leaving Morgan Stanley
Eduardo Canabarro set to be replaced by Andreas Gocksch, say sources
The funding invariance principle
Youssef Elouerkhaoui shows how the choice of discounting rate is irrelevant for pricing
Mixed industry reaction to Moody’s CCP ratings
Clearing members say narrow definition of default may limit ratings’ usefulness
Banks test promise of blockchain as CCP replacement
“You can imagine a world where you don’t need clearing houses,” says senior banker
Building and protecting the IT architecture of the future
Risk management: energy trading systems
Custody Risk European Awards 2015: Insurance Custodian of the Year
Sponsored feature: BNP Paribas Securities Service
Risk management: different industries, different drivers
Energy firms get wise on credit risk; asset managers tackle op risk
Oil rout sharpens energy companies' focus on credit risk
As defaults rise, firms step up sophistication of counterparty assessments
IFC risk management directors wrestle with strong dollar
Weak emerging markets and commodities downturn are also posing a challenge
JSE swap futures off to a slow start
Dealers struggling with CVA pricing and internal approvals
Canada to collateralise cross-currency swaps
Finance ministry hopes two-way CSAs will cut costs and risks on hefty swaps flows
American options: time-critical pricing
Time constraints can be binding for ‘heavy’ Monte Carlo calculations of risk analytics – value-at-risk, potential future exposure, credit valuation adjustment – in intraday risk monitoring, so fast approximations are sometimes preferred. Vladislav…
Non-financials may be caught by shadow bank rules
Banks warn of "massive" impact from EBA proposals, which would limit credit lines