LSE academics developed an innovative methodology for estimating counterparty credit risk used by Barclays to meet regulatory requirements and calculate appropriate capital reserves. The new ...

On November 20, 2024, the Basel Committee on Banking Supervision (BCBS) issued a press release following its meeting in Basel. The committee reaffirmed its commitment to fully implement Basel III and ...

“Containing Systemic Risk: The Road to Reform.” This report is the latest in the series published by a Policy Group that includes senior management from major financial institutions. The report, which ...

Algorithmics’ latest white paper, “Towards active management of counterparty credit risk with CVA”, explores best practices and practical challenges in counterparty credit risk management through ...

The corporate bond market continued to feel heavy last week as credit spreads leaked wider in the investment-grade market and were crushed in the high-yield market. The new issue market remained ...

The Basel Committee on Banking Supervision's (BCBS) Standardised Approach to Counterparty Credit Risk (SA-CCR) was introduced to improve the risk sensitivity of capital framework for derivatives ...

The first central counterparty clearinghouse for credit default swaps (CDS) began operating on March 9, the same day that perceptions of default risk among the largest derivatives market makers in the ...

Credit risk managers are scrambling to keep track of multifaceted exposures to hedge funds. The industry's torrid growth has propelled assets past an estimated $1 trillion, but that's just equity ...

Paris-based Société Générale Corporate and Investment Banking (SGCIB) has partnered with Algorithmics for the development of a credit valuation adjustment (CVA) solution. SGCIB will use the software ...

The OTC derivatives market has seen several defaults in the past two decades, each of which has led to a rethink of industry practices. Nowhere is this more evident than in the evaluation of ...

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