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Fed unveils hyper-Archegos test to reveal bank blow-up risks

Published: February 23, 2024

CCAR for 2024 includes analysis of simultaneous defaults of five largest hedge fund clients

Source: risk.net

Related Topics:

Archegos Capital ManagementFederal ReserveEuropean Central Bank EcbCredit SuisseNited States UsNorth AmericaRong Way Risk Wwr Counterparty Credit RiskUmp To DefaultStress TestingStress Capital BufferStress ScenariosHedge FundsPrime BrokerageRisk Management

How to model potential exposure, post-Archegos

Published: May 4, 2022

BofA quant’s model considers the correlation between market shocks and counterparty defaults

Source: risk.net

Related Topics:

United StatesAndrew DickinsonChris KenyonCredit SuisseArchegos Capital ManagementMalachite Capital ManagementEinar AasDefault CorrelationRobability Of Default Pd Ump To DefaultLevy ProcessesCat TailsCounterparty Credit RiskRisk Management