market change

Managing Counterparty Risk & Basel III: Quantifi & EY Survey

Thursday, February 27, 2020

In this article, Dmitry Pugachevsky, Director of Research, analyses the results of this survey and discusses whether banks are ready for counterparty risk elements of Basel lll. Basel III significantly changes the way in which financial institutions address counterparty credit risk (CCR) and credit value adjustment (CVA). Enhancing counterparty credit risk management practices is a key focus for banks. This is in response to changes in accounting rules and new prudential and market regulations, which have tightened substantially following the financial crisis. Collectively, these changes are having a deep impact on the market and the way banks price and manage the risk associated with derivatives. 

Implementing a Counterparty Risk Management Process

Thursday, February 27, 2020

Quantifi explores the key challenges for banks in the implementation of counterparty risk management, focusing on data, technology and operational issues in the context of current trends and best practices.

Most banks are in the process of setting up counterparty risk management processes or improving existing ones. Unlike market risk, which can be effectively managed by individual trading desks or traders, counterparty risk is increasingly being priced and managed by a central credit value adjustments (CVA) desk or risk control group since the exposure tends to span multiple asset classes and business lines. Moreover, aggregated counterparty exposure may be significantly impacted by collateral and cross-product netting agreements. 

Hedging Implications of Fixed Coupon CDS

Thursday, February 27, 2020

It has been reported in several industry publications (e.g. CreditFlux, Reuters, Derivatives Week Online) that the CDS market is likely to switch to a fixed coupon basis with upfront points. This change will lead to some fundamental changes in the risk profiles of these contracts. Understanding the implications of a switch to upfront contracts is going to be important in adjusting hedging strategies going forward. This is particularly true for strategies involving these contracts as hedges for default risk. This Learning Curve article will explore some of the most basic changes that participants in the credit markets will need to keep in mind.

Q&A with Vasily Strela, Global Head of FICC Quantitative Strategies, RBC Capital Markets

Monday, July 30, 2018

Vasily Strela, Global Head of FICC Quantitative Strategies, RBC Capital Markets, talks about market developments, regulation and technology. Vasily is responsible for running the Fixed Income (rates, credit, muni, FX, mortgages) & Commodities quantitative teams. His team provides quant support to the business, which involves looking at new ways to enhance and adapt models to current market conditions i.e. new algorithms and how to apply them to the business. Read More