Counterparty risk
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
Applied risk management series: Counterparty risk exposure metrics
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
Cutting Edge introduction: Taming MVA
Lloyds quants tackle computation of margin add-on for derivatives prices
Goodbye Sonia flat: banks rethink swaps with bond collateral
Higher discount rate can cut payouts to in-the-money clients by millions
T2S is right on target
Sponsored forum: Sibos 2014
Looking back: Lehman stirs credit and liquidity risk fears
Counterparty concerns could lead to increased use of clearing