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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

European central bankJon gregoryEuropean central bank ecbFederal reserveNited states usNorth americaCounterparty credit riskRong way risk wwrStress testingStress scenariosPrime brokerageHedge fundsRisk management

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

Archegos capital managementFederal reserveEuropean central bank ecbCredit suisseNited states usNorth americaRong way risk wwrCounterparty credit riskUmp to defaultStress testingStress capital bufferStress scenariosHedge fundsPrime brokerageRisk management

Fears of runaway risk on offshore reinsurance

Life insurers catch the eye of UK regulator for pension buyout financing trick

United kingdomInternational association of insurance supervisors iaisPrudential regulation authority praBank of england boeBuy sideCapital requirementsMatching adjustmentPension fundsPrivate equitySolvency iiSystemic riskRong way risk wwrAsset management

CVA swaps: a new type of capital relief trade

Dmitry Pugachevsky, Quantifi, discusses the emergence of the CVA swaps market

Monte carloDmitry pugachevskyQuantifi dmitry pugachevskyAluation adjustments xvasCredit valuation adjustment cvaRong way risk wwrHedge funds

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

Bank of england boePrudential regulation authority praCredit suisseNited kingdom ukLiability driven investment ldiTotal return swaps trssPrime brokerageCounterparty credit riskStandardised approach to counterparty credit risk sa ccrRong way risk wwrOtential future exposure models pfeMargin modelsLeverage ratioTail riskRisk management

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